Systemic-systematic risk in financial system: A dynamic ranking based on expectiles

被引：4

作者：

Garcia-Jorcano, Laura ^{[1
]}

Sanchis-Marco, Lidia ^{[1
]}

机构：

[1] Univ Castilla La Mancha, Fac Ciencias Jurid & Sociales, Dept Econ Anal & Finance, Area Financial Econ, Toledo 45071, Spain

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2021年 / 75卷

关键词：

Expectiles; Expected shortfall; Systematic risk; Systemic risk; CAPITAL SHORTFALL; INSURANCE; MODEL; US;

D O I：

10.1016/j.iref.2021.04.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We provide an international comparison of rankings for systematic and systemic risk in the financial system and examine whether both types of risk co-exist. The rankings are based on the information provided by a coherent downside risk measure, the expected shortfall (ES), which we compute from expectiles. Using rolling windows, we obtain dynamic rankings for different banks as well as for financial services and insurance firms from different international regions using principal components analysis (PCA). The main evidence for ES5% indicates that banks from Asia are the most systematic and insurance groups from Europe are the most systemic during a crisis period. Our results have implications for supervisors regarding the regulation of financial firms, as well as for investors regarding the incorporation of diversifiable and non-diversifiable risks in their portfolios.

引用

页码：330 / 365

页数：36

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