Konferenzbeitrag
On the ranking consistency of global systemic risk measures: empirical evidence
We empirically analyze to which extent popular global systemic risk measures (SRMs) yield comparable results with respect to the systemic importance of a financial institution and, in particular, from which determinants the degree of consistency of the classification by the various SRMs depends. In this study, we investigate the rank correlations of SRMs in order to detect common drivers that might explain (in-)consistent ranking outcomes. This could allow to facilitate the interpretation of the outcome of SRMs and to increase the reliability of their usage in academic and practical applications. Our results show that rank correlations are particularly sensitive towards a bank’s leverage and towards tightening economic conditions. This finding holds across various different specifications.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2018: Digitale Wirtschaft - Session: Poster Session Health and Finance ; No. P03-V4
- Klassifikation
-
Wirtschaft
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
systemic risk
risk rankings
financial regulation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Abendschein, Michael
Grundke, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Leibniz-Informationszentrum Wirtschaft
- (wo)
-
Kiel, Hamburg
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Abendschein, Michael
- Grundke, Peter
- ZBW - Leibniz-Informationszentrum Wirtschaft
Entstanden
- 2018
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