Too non-traditional to fail? Determinants of systemic risk for BRICs banks

Abstract

This article empirically tests the ‘too non-traditional to fail’ argument by exploring the determinants of systemic risk for the BRICs banks. The argument is found not applicable for the BRICs banks, since the systemic risk is merely determined by balance-sheet characteristics, rather than non-traditional activities such as interbank exposures and off-balance commitment. In contrast, systemic risk for banks from the developped countries is related with both aspects.

Keywords:

• systemic risk
• marginal expected shortfall
• extreme value theory
• too non-traditional to fail

JEL Classification:

• G21
• C14
• G32

Funding

The research is funded by National Science Foundation (NSF) of China [grant number 71001070], [grant number 71273172]; ‘Chen Guang’ project supported by Shanghai Municipal Education Commission and Shanghai Education Development Foundation [grant number 11CG13].