کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7365284 | 1479137 | 2018 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Systemic risk and bank size
ترجمه فارسی عنوان
ریسک سیستماتیک و اندازه بانک
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this paper we analyse firm level systemic risk for US and European banks from 2004 to 2012. We observe that common systemic risk indicators are primarily driven by firm size which implies an overriding concern for “too-big-to-fail” institutions. However, smaller banks may still pose considerable systemic threats, as exemplified by the Northern Rock debacle in 2007. By introducing a simple standardisation, we obtain new risk measures that often prove to be superior predictors of financial distress during the 2007-2009 subprime crisis. We conclude that the new measures could be a valuable addition to the existing indicators employed in Basel III to identify systemically important banks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 82, April 2018, Pages 45-70
Journal: Journal of International Money and Finance - Volume 82, April 2018, Pages 45-70
نویسندگان
Simone Varotto, Lei Zhao,