Systemic importance index for financial institutions: a principal component analysis approach

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Borradores de Economía; No. 741
Date published
2012-10-22
Date of last update
2012-10-22
Author
León-Rincón, Carlos Eduardo
Murcia, Andrés
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
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
JEL Codes
C63 - Computational Techniques; Simulation ModelingD85 - Network Formation and Analysis: TheoryE58 - Central Banks and Their PoliciesG28 - Financial Institutions and Services: Government Policy and Regulation
Keywords
Systemic importance ; Systemic risk ; Principal components analysis ; Too-connected-to-fail ; Too-big-to-fail ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5786
https://hdl.handle.net/20.500.12134/5786
https://doi.org/10.32468/be.741
https://ideas.repec.org/p/bdr/borrec/741.html
https://ideas.repec.org/p/col/000094/010067.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit