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

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

The most recent

Jorge Florez-Acosta, Margarita María Gáfaro-González, Alejandra González-Ramírez, Juan Sebastián Vélez-Velásquez
Sandra Isabel Salamanca-Gil, Enrique Montes-Uribe, Juan Sebastián Silva-Rodríguez

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