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

Número: 
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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Lina Fernanda Torres-Gutierrez, Gonzalo Ossa-Stipcianos, Edwin Mauricio Parra-Rodriguez, Egberto Alexander Riveros, Alvaro José Martinez-Monroy, Julián Andrés Gomez-Duran, Juan Sebastián Rojas-Moreno

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