Systemic Importance Index for Financial Institutions: A Principal Component Analysis Approach

Borradores de Economia
Number: 
741
Published: 
Classification JEL: 
D85, C63, E58, G28

As a result of the most recent global financial crisis literature has embraced size, connectedness and substitutability as key indicators for financial institutions' systemic importance. Despite the intuitiveness of these concepts, identifying systemic im