Measuring the systemic importance of interconnected banks

被引：132

作者：

Drehmann, Mathias ^{[1
]}

Tarashev, Nikola ^{[1
]}

机构：

[1] Bank Int Settlements, CH-4002 Basel, Switzerland

来源：

JOURNAL OF FINANCIAL INTERMEDIATION | 2013年 / 22卷 / 04期

关键词：

Systemic risk; Shapley value; Interbank network; DEPOSIT INSURANCE; FAIR ALLOCATION; RISK;

D O I：

10.1016/j.jfi.2013.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a method for measuring the systemic importance of interconnected banks. In order to capture contributions to system-wide risk, our measure accounts fully for the extent to which a bank (i) propagates shocks across the system and (ii) is vulnerable to propagated shocks. An empirical implementation of this measure and a popular alternative reveals that interconnectedness is a key driver of systemic importance. However, since the two measures reflect the impact of interbank borrowing and lending on system-wide risk differently, they can disagree substantially about the systemic importance of individual banks. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：586 / 607

页数：22