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Journal of Banking & Finance Vol. 78 2017

Network, market, and book-based systemic risk rankings

Michiel C.W. van de Leur; André Lucas1,2; Norman Seeger2,1

1 Tinbergen Institute · 2 Vrije Universiteit Amsterdam

open access

Abstract

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.

DOI
10.1016/j.jbankfin.2017.02.003
Volume
78
Pages
84-90
Language
en
Sources
openalex crossref bibtex:phds-export.bib

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