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

Número: 
741
DOI: 
http://doi.org/10.32468/be.741
Publicado: 
Clasificación JEL: 
D85, C63, E58, G28
Palabras clave: 
Systemic Importance, systemic risk, Principal Components Analysis, too-connected-to-fail
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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