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Identifying and tracking global, EU and Eurozone systemically important banks with public data

Author

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  • Sergio Masciantonio

    (Bank of Italy)

Abstract

This paper develops a methodology for identifying systemically important financial institutions based on that developed by the Basel Committee on Banking Supervision (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. The methodology uses publicly available data to provide fully transparent results with a G-SIBs list that helps to bridge the gap between market knowledge and supervisory decisions. Moreover, the results include a complete ranking of the banks in the sample, according to their systemic importance scores. The methodology is then applied to EU and Eurozone samples of banks to obtain their systemic importance ranking and SIFI lists. This is one of the first methodologies capable of identifying systemically relevant banks at the European level. A statistical analysis and some geographical and historical evidence provide further insight into the notion of systemic importance, its policy implications and the future applications of this methodology.

Suggested Citation

  • Sergio Masciantonio, 2013. "Identifying and tracking global, EU and Eurozone systemically important banks with public data," Questioni di Economia e Finanza (Occasional Papers) 204, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_204_13
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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2013-0204/QEF_204.pdf
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    Cited by:

    1. Stefano Gurciullo, 2014. "Stess-testing the system: Financial shock contagion in the realm of uncertainty," Papers 1412.1679, arXiv.org.
    2. Alessandri, Piergiorgio & Masciantonio, Sergio & Zaghini, Andrea, 2014. "Everything you always wanted to know about systemic importance (but were afraid to ask)," CFS Working Paper Series 463, Center for Financial Studies (CFS).
    3. Nedelchev, Miroslav, 2014. "Corporate governance of banking group: international recommendations, european policies and national practices," MPRA Paper 64586, University Library of Munich, Germany.
    4. Marina Brogi & Valentina Lagasio & Luca Riccetti, 2021. "Systemic risk measurement: bucketing global systemically important banks," Annals of Finance, Springer, vol. 17(3), pages 319-351, September.
    5. Sergio Masciantonio & Andrea Zaghini, 2017. "Systemic risk and systemic importance measures during the crisis," Temi di discussione (Economic working papers) 1153, Bank of Italy, Economic Research and International Relations Area.
    6. Piergiorgio Alessandri & Sergio Masciantonio & Andrea Zaghini, 2015. "Tracking Banks’ Systemic Importance Before and After the Crisis," International Finance, Wiley Blackwell, vol. 18(2), pages 157-186, June.
    7. Andrea Zaghini, 2014. "Bank Bonds: Size, Systemic Relevance and the Sovereign," International Finance, Wiley Blackwell, vol. 17(2), pages 161-184, June.
    8. Matteo Foglia & Eliana Angelini, 2021. "The triple (T3) dimension of systemic risk: Identifying systemically important banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 7-26, January.

    More about this item

    Keywords

    banks; balance sheets; systemic risk; SIFIs; financial stability; regulation;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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