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dc.contributor.authorJohnsson, Emil
dc.date.accessioned2018-07-04T09:43:47Z
dc.date.available2018-07-04T09:43:47Z
dc.date.issued2018-07-04
dc.identifier.urihttp://hdl.handle.net/2077/56992
dc.descriptionMSc in Financesv
dc.description.abstractThe extra loss absorbency requirement for global systemically important banks (G-SIBs) is one of the macroprudential reforms in Basel III aimed at lowering the systemic risk in the financial system. Systemic risk is difficult to define and measure and academics have proposed alternative ways to measure banks' systemic importance. This study analyses how the rankings of systemically important banks in Europe differ between the G-SIB methodology and the SRISK measure of systemic risk proposed by Brownlees and Engle (2016). In contrast to previous studies, this is the first study that empirically and theoretically compares the G-SIB classification methodology with a systemic risk measure proposed by academics. The study contributes to existing research by bridging the gap between the regulatory and academic approaches for measuring systemic risk and by providing an up-to-date view of systemic risk levels in Europe. I show that the two methods give similar rankings most of the time but some large inconsistencies are observed as a result of that regulators' and academics' view on systemic risk does not align. The results also indicate that the systemic risk level in Europe is currently at its lowest since 2005.sv
dc.language.isoengsv
dc.relation.ispartofseriesMaster Degree Projectsv
dc.relation.ispartofseries2018:141sv
dc.subjectRisk Analysissv
dc.subjectBasel Accordssv
dc.subjectFinancial Regulationsv
dc.subjectSimulation Modelingsv
dc.subjectVolatility Forecastingsv
dc.subjectRisk Assessmentsv
dc.subjectBank Regulationsv
dc.titleComparing methods for identifying G-SIBs in Europesv
dc.typeText
dc.setspec.uppsokSocialBehaviourLaw
dc.type.uppsokH2
dc.contributor.departmentUniversity of Gothenburg/Graduate Schooleng
dc.contributor.departmentGöteborgs universitet/Graduate Schoolswe
dc.type.degreeMaster 2-years


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