TY - JOUR
T1 - Network, market, and book-based systemic risk rankings
AU - van de Leur, Michiel C W
AU - Lucas, André
AU - Seeger, Norman J.
PY - 2017/5
Y1 - 2017/5
N2 - We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock correlations as developed in this paper. The correlation based network measures complement currently available alternative systemic risk ranking methods based on book or market values. A further analytical investigation shows that the value-added appears to be mainly attributable to pairwise cross-sectional heterogeneity rather than to more subtle network relations and feedback loops.
AB - We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock correlations as developed in this paper. The correlation based network measures complement currently available alternative systemic risk ranking methods based on book or market values. A further analytical investigation shows that the value-added appears to be mainly attributable to pairwise cross-sectional heterogeneity rather than to more subtle network relations and feedback loops.
KW - European banking sector
KW - Network based risk measures
KW - Systemic risk ranking
KW - Systemically important financial institutions (SIFI)
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U2 - 10.1016/j.jbankfin.2017.02.003
DO - 10.1016/j.jbankfin.2017.02.003
M3 - Article
AN - SCOPUS:85013230435
SN - 0378-4266
VL - 78
SP - 84
EP - 90
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
ER -