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Size is everything: Explaining SIFI designations
Author(s) -
Irresberger Felix,
Bierth Christopher,
Weiß Gregor N.F.
Publication year - 2017
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/j.rfe.2016.09.003
Subject(s) - systemic risk , financial crisis , financial institution , quantile regression , economics , too big to fail , business , relevance (law) , actuarial science , econometrics , finance , political science , law , macroeconomics
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 Δ CoVaR as two common measures of systemic risk produce inconclusive results concerning the systemic relevance of banks and insurers during the crisis.