Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/136077
Title: GLOBAL SYSTEMICALLY IMPORTANT FINANCIAL INSTITUTIONS: A STRUCTURAL VAR APPROACH
Authors: ZHANG CHANGHAO
Keywords: systemic risk, simultaneity, factor model, structural identication, Basel, big data
Issue Date: 18-Apr-2017
Source: ZHANG CHANGHAO (2017-04-18). GLOBAL SYSTEMICALLY IMPORTANT FINANCIAL INSTITUTIONS: A STRUCTURAL VAR APPROACH. ScholarBank@NUS Repository.
Abstract: Systemic importance of a financial institution is measured as the additional tail loss induced into the system when the financial institution falls into distress due to its own structural shocks. The use of a structural approach is a step towards addressing a key concern in systemic risk literature, ``Is the firm impacting the market, or is the market impacting the firm?'' The identification exploits ``too-big-to-fail'' restrictions which are implicitly imposed when a dynamic factor model is assumed, and the data reveals ``too-interconnected-to-fail'', thereby incorporating the two key considerations of systemic importance. Over 21,000 firms listed globally are modelled jointly as a system. Even though we use only public data, the model's output relates to actual bailout events, and also reflects interactions of firms linked to the same supply chain. In addition, we show how Basel's list of global systemically important banks can be interpreted in our framework.
URI: http://scholarbank.nus.edu.sg/handle/10635/136077
Appears in Collections:Ph.D Theses (Open)

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