دانلود مقاله ISI انگلیسی شماره 80325
ترجمه فارسی عنوان مقاله

اطلاعات در رتبه بندی ریسک سیستماتیک

عنوان انگلیسی
The information in systemic risk rankings ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80325 2016 15 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Empirical Finance, Volume 38, Part A, September 2016, Pages 461–475

ترجمه کلمات کلیدی
سهم ریسک سیستماتیک؛ رتبه بندی ریسک، ترکیب پیش بینی؛ مقررات مالی؛ نظارت بانکی
کلمات کلیدی انگلیسی
C13; C32; C53; E17Systemic risk contribution; Risk rankings; Forecast combination; Financial regulation; Banking supervision
پیش نمایش مقاله
پیش نمایش مقاله  اطلاعات در رتبه بندی ریسک سیستماتیک

چکیده انگلیسی

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that have been proposed recently. We use a sample of 113 listed financial sector firms in the European Union over the period 2002–2013. The implied ranking from the principal components is less volatile than most individual risk rankings and leads to less turnover among the top ranked institutions. We also find that price-based rankings and fundamentals-based rankings deviated substantially and for a prolonged time in the period leading up to the financial crisis. We test the adequacy of our newly pooled systemic risk ranking by relating it to credit default swap premia.