Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2016-09-08
Number: 16-074/IV
Author-Name: Michiel C.W. van de Leur
Author-Workplace-Name: VU University Amsterdam, the Netherlands
Author-Name: Andre Lucas
Author-Workplace-Name: VU University Amsterdam, the Netherlands
Title: Network, Market, and Book-Based Systemic Risk Rankings
Abstract: We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we first show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock correlations. Next, we find that correlation based network measures still appear to complement currently available systemic risk ranking methods based on book or market values. A further analytical investigation, however, shows that the value-added appears to be mainly attributable to pairwise cross-sectional heterogeneity rather than to more subtle network relations and feedback loops.
Classification-JEL: G01, G21
Keywords: Systemically Important Financial Institutions (SIFI), European banking sector, systemic risk rankings, network based risk measures
File-Url: https://papers.tinbergen.nl/16074.pdf
File-Format: application/pdf
File-Size: 888426 bytes
Handle: RePEc:tin:wpaper:20160074