Arbeitspapier

The Information in Systemic Risk Rankings

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently proposed. We use a sample of 113 listed financial sector firms in the European Union over the period 2002-2013. The implied ranking from the principal components is less volatile than most individual risk rankings and leads to less turnover among the top ranked institutions. We also find that price-based rankings and fundamentals based rankings deviated substantially and for a prolonged time in the period leading up to the financial crisis. We test the adequacy of our newly pooled systemic risk ranking by relating it to credit default swap premia.

Sprache
Englisch

Erschienen in
Series: Tinbergen Institute Discussion Paper ; No. 15-070/III/DSF94

Klassifikation
Wirtschaft
Financial Crises
Financial Institutions and Services: Government Policy and Regulation
Thema
systemic risk contribution
risk rankings
forecast combination
financial regulation
banking supervision

Ereignis
Geistige Schöpfung
(wer)
Nucera, Federico
Schwaab, Bernd
Koopman, Siem Jan
Lucas, André
Ereignis
Veröffentlichung
(wer)
Tinbergen Institute
(wo)
Amsterdam and Rotterdam
(wann)
2015

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Nucera, Federico
  • Schwaab, Bernd
  • Koopman, Siem Jan
  • Lucas, André
  • Tinbergen Institute

Entstanden

  • 2015

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