Tracking Banks' Systemic Importance Before and After the Crisis

We develop a methodology to identify and rank systemically important financial institutions' (SIFIs). Our approach is free of discretion and based entirely on publicly available data, thus filling the gap between the judgment of the regulator and the views that market participants may form with their own information. We apply the methodology to three samples of banks (global, EU and euro area) for the years 2007-2012 and find that both the nature of systemic importance and its geographical distribution have changed significantly over time, with a shift from advanced western economies towards emerging markets, particularly China. Moreover, a distinctive consequence of the crisis is the proliferation of SIFIs that are at the same time complex and poorly substitutable, a combination that seemed relatively rare at the onset of the crisis and might not be entirely consistent with regulatory aspirations for a less risky financial framework.