434
Views
0
CrossRef citations to date
0
Altmetric
Research Article

On the ranking consistency of systemic risk measures: empirical evidence*

ORCID Icon &
Pages 261-290 | Received 23 Jul 2020, Accepted 14 Jun 2021, Published online: 03 Jul 2021

References

  • Acharya, V. V., R. Engle, and M. Richardson. 2012. “Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks.” American Economic Review 102 (3): 59–64.
  • Acharya, V. V., L. H. Pedersen, T. Philippon, and M. Richardson. 2017. “Measuring Systemic Risk.” Review of Financial Studies 30 (1): 2–47.
  • Adrian, T., and M. K. Brunnermeier. 2016. “CoVaR.” American Economic Review 106 (7): 1705–1741.
  • Anginer, D., A. Demirguc-Kunt, and M. Zhu. 2014. “How Does Competition Affect Bank Systemic Risk?” Journal of Financial Intermediation 23 (1): 1–26.
  • BCBS (Basel Committee on Banking Supervision). 2013. Global Systemically Important Banks: Updated Assessment Methodology and the Higher Loss Absorbency Requirement. Basel, Bank for International Settlements.
  • Beck, T., O. Jonghe, and K. Mulier. 2021. “Bank Sectoral and (Systemic) Risk: Evidence from a Worldwide Sample of Banks.” Working Paper.
  • Beltratti, A., and R. M. Stulz. 2012. “The Credit Crisis Around the Globe: Why Did Some Banks Perform Better?” Journal of Financial Economics 105 (1): 1–17.
  • Benoit, S., G. Colletaz, C. Hurlin, and C. Pérignon. 2013. “A Theoretical and Empirical Comparison of Systemic Risk Measures.” Working Paper.
  • Benoit, S., J.-E. Colliard, C. Hurlin, and C. Pérignon. 2017. “Where the Risks Lie: A Survey on Systemic Risk.” Review of Finance 21 (1): 109–152.
  • Benoit, S., C. Hurlin, and C. Pérignon. 2019. “Pitfalls in Systemic-Risk Scoring.” Journal of Financial Intermediation 38: 19–44.
  • Billio, M., M. Getmansky, A. W. Lo, and L. Pelizzon. 2012. “Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.” Journal of Financial Economics 104: 535–559.
  • Bostandzic, D., M. Pelster, and G. N. F. Weiß. 2014. “Systemic Risk, Bank Capital, and Deposit Insurance Around the World.” Working Paper.
  • Brownlees, C., and R. Engle. 2016. “SRISK: A Conditional Capital Shortfall Measure of Systemic Risk.” Review of Financial Studies 30 (1): 48–79.
  • Brunnermeier, M. K., G. Dong, and D. Palia. 2020. “Banks’ Noninterest Income and Systemic Risk.” Review of Corporate Finance Studies 9 (2): 229–255.
  • Brunnermeier, M K, and L H Pedersen. 2009. “Market Liquidity and Funding Liquidity.” Review of Financial Studies 22 (6): 2201–2238.
  • Buch, C. M., T. Krause, and L. Tonzer. 2017. “Drivers of Systemic Risk: Do National and European Perspectives Differ?” Deutsche Bundesbank Discussion Paper, No. 09/2017.
  • Cai, J., F. Eidam, A. Saunders, and S. Steffen. 2018. “Syndication, Interconnectedness, and Systemic Risk.” Journal of Financial Stability 34: 105–120.
  • Cihak, M., A. Demirgüc-Kunt, M. S. Martinez Peria, and A. Mohseni-Cheraghlou. 2013. “Bank Regulation and Supervision in the Context of the Global Crisis.” Journal of Financial Stability 9 (4): 733–746. doi:10.1016/j.jfs.2013.10.002.
  • Danielsson, J., K. James, M. Valencuela, and I. Zer. 2016a. “Model Risk of Risk Models.” Journal of Financial Stability 23: 79–91.
  • Danielsson, J., K. James, M. Valencuela, and I. Zer. 2016b. “Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report.” Journal of Money, Credit and Banking 48 (4): 795–812.
  • Döring, B., C. Wewel, and T. Hartmann-Wendels. 2016. “Systemic Risk Measures and Their Viability for Banking Supervision.” Working Paper, Department of Bank Management, University of Cologne.
  • Engle, R. F., E. Jondeau, and M. Rockinger. 2015. “Systemic Risk in Europe.” Review of Finance 19: 145–190.
  • Gandhi, P., and H. Lustig. 2015. “Size Anomalies in US Bank Stock Returns.” The Journal of Finance 70 (2): 733–768.
  • Giglio, S., B. T. Kelly, and S. Pruitt. 2016. “Systemic Risk and the Macroeconomy: An Empirical Evaluation.” Journal of Financial Economics 119 (3): 457–471.
  • Girardi, G., and A. T. Ergün. 2013. “Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR.” Journal of Banking and Finance 37 (8): 3169–3180.
  • Gravelle, T., and F. Li. 2013. “Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach.” Journal of Banking and Finance 37: 2196–2209.
  • Grundke, P. 2019. “Ranking Consistency of Systemic Risk Measures: A Simulation-Based Analysis in a Banking Network Model.” Review of Quantitative Finance and Accounting 52 (4): 953–990.
  • Grundke, P., and M. Tuchscherer. 2019. “Global Systemic Risk Measures and Their Forecasting Power for Systemic Events.” The European Journal of Finance 25 (3): 205–233.
  • Homar, T., H. Kick, and C. Sallelo. 2016. “Making Sense of the EU Wide Stress Test: A Comparison With the SRISK Approach.” ECB Working Paper No 1920.
  • Hovakimian, A., E. Kane, and L. Laeven. 2012. “Variation in Systemic Risk at US Banks During 1974–2010.” NBER Technical Report.
  • Irresberger, F., C. Bierth, and G. N. F. Weiß. 2017. “Size is Everything: Explaining SIFI Designations.” Review of Financial Economics 32: 7–19.
  • Jiang, C. 2012. “Does Tail Dependence Make a Difference in the Estimation of Systemic Risk.” ΔCoVaR and MES. Working paper.
  • Jokivuolle, E., R. Tunaru, and D. Vioto. 2018. “Testing the Systemic Risk Differences in Banks.” Bank of Finland Research Discussion Papers.
  • Kendall, M., and J. Gibbons. 1990. Rank Correlation Methods. 5th ed. London: Edward Arnold Publishing.
  • Kleinow, J., F. Moreira, S. Strobel, and S. Vähämaa. 2017. “Measuring Systemic Risk: A Comparison of Alternative Market-Based Approaches.” Finance Research Letters 21: 40–46.
  • Li, X., D. Tripe, and C. Malone. 2017. “Measuring Bank Risk: An Exploration of z-Score.” Working Paper. Massey University.
  • Löffler, G., and P. Raupach. 2018. “Pitfalls in the Use of Systemic Risk Measures.” Journal of Financial and Quantitative Analysis 53 (1): 269–298.
  • López-Espinosa, G., A. Moreno, A. Rubia, and L. Valderrama. 2012. “Short-Term Wholesale Funding and Systemic Risk: A Global CoVaR Approach.” Journal of Banking and Finance 36 (12): 3150–3162.
  • López-Espinosa, G., A. Moreno, A. Rubia, and L. Valderrama. 2015. “Systemic Risk and Asymmetric Responses in the Financial Industry.” Journal of Banking and Finance 58: 471–485.
  • Mühlnickel, J., and G. N. F. Weiß. 2015. “Consolidation and Systemic Risk in the International Insurance Industry.” Journal of Financial Stability 18: 187–202.
  • Nucera, F., B. Schwaab, S. J. Koopmann, and A. Lucas. 2016. “The Information in Systemic Risk Rankings.” Journal of Empirical Finance 38: 461–475.
  • Uhde, A., and U. Heimeshoff. 2009. “Consolidation in Banking and Financial Stability in Europe: Empirical Evidence.” Journal of Banking and Finance 33: 1299–1311.
  • Vallascas, F., and J. Hagendorff. 2011. “The Impact of European Bank Mergers on Bidder Default Risk.” Journal of Banking and Finance 35 (4): 902–915.
  • Weiß, G. N. F., D. Bostandzic, and S. Neumann. 2014b. “What Factors Drive Systemic Risk During International Financial Crisis?” Journal of Banking and Finance 41 (4): 78–96.
  • Weiß, G. N. F., S. Neumann, and D. Bostandzic. 2014a. “Systemic Risk and Bank Consolidation: International Evidence.” Journal of Banking and Finance 40 (3): 165–181.
  • Zhou, C., and N. Tarashev. 2013, June. “Looking at the Tail: Price-Based Measures of Systemic Importance.” BIS Quarterly Review.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.