Size Is Everything: Explaining SIFI Designations

39 Pages Posted: 19 Sep 2016 Last revised: 22 Sep 2016

See all articles by Felix Irresberger

Felix Irresberger

Durham University

Christopher Bierth

Technical University of Dortmund

Gregor N. F. Weiss

University of Leipzig - Faculty of Economics and Management Science

Date Written: September 21, 2016

Abstract

In this paper, we study the determinants of the systemic importance of banks and insurers during the financial crisis. We investigate the methodology of regulators to identify global systemically important financial institutions and find that firm size is the only significant predictor of the decision of regulators to designate a financial institution as systemically important. Further, using a cross-sectional quantile regression approach, we find that Marginal Expected Shortfall and ΔCoVaR as two common measures of systemic risk produce inconclusive results concerning the systemic relevance of banks and insurers during the crisis.

Keywords: Systemic Risk, Interconnectedness, Systemic Relevance, Financial Stability

JEL Classification: G01, G20, G28

Suggested Citation

Irresberger, Felix and Bierth, Christopher and Weiss, Gregor N. F., Size Is Everything: Explaining SIFI Designations (September 21, 2016). Review of Financial Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2840165

Felix Irresberger

Durham University ( email )

Old Elvet
Mill Hill Lane
Durham, Durham DH1 3HP
United Kingdom

Christopher Bierth

Technical University of Dortmund ( email )

Emil-Figge-Straße 50
Dortmund, 44227
Germany

Gregor N. F. Weiss (Contact Author)

University of Leipzig - Faculty of Economics and Management Science ( email )

Grimmaische Str. 12
Leipzig, 04109
Germany
+49 341 97 33821 (Phone)
+49 341 97 33829 (Fax)

HOME PAGE: http://www.wifa.uni-leipzig.de/nfdl

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