Googling SIFIs

31 Pages Posted: 25 Oct 2012 Last revised: 24 Apr 2014

See all articles by Mardi Dungey

Mardi Dungey

University of Cambridge - Cambridge Endowment for Research in Finance (CERF)

Matteo Luciani

Board of Governors of the Federal Reserve System

David Veredas

Vlerick Business School

Date Written: August 1, 2013

Abstract

To measure the systemic risk in financial markets, and rank systemically important financial institutions (SIFIs), we propose a methodology based on the Google PageRank algorithm. We understand the economic system as interconnected risk shocks of firms in both the financial sector and the real economy. By taking into account both sectors, we demonstrate the efficacy of intervention programs, such as the TARP, as circuit breakers in the propagation of crises - something not evident in applications which address only financial firms.

Keywords: Systemic risk, ranking, financial institutions

JEL Classification: G01, G21, E02, G28

Suggested Citation

Dungey, Mardi and Luciani, Matteo and Veredas, David, Googling SIFIs (August 1, 2013). Systemic Risk: Liquidity Risk, Governance and Financial Stability, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2166504 or http://dx.doi.org/10.2139/ssrn.2166504

Mardi Dungey

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

HOME PAGE: http://www.dungey.bigpondhosting.com

Matteo Luciani

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

David Veredas (Contact Author)

Vlerick Business School ( email )

Library
REEP 1
Gent, BE-9000
Belgium

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