dc.contributor.author | Johnsson, Emil | |
dc.date.accessioned | 2018-07-04T09:43:47Z | |
dc.date.available | 2018-07-04T09:43:47Z | |
dc.date.issued | 2018-07-04 | |
dc.identifier.uri | http://hdl.handle.net/2077/56992 | |
dc.description | MSc in Finance | sv |
dc.description.abstract | The 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.iso | eng | sv |
dc.relation.ispartofseries | Master Degree Project | sv |
dc.relation.ispartofseries | 2018:141 | sv |
dc.subject | Risk Analysis | sv |
dc.subject | Basel Accords | sv |
dc.subject | Financial Regulation | sv |
dc.subject | Simulation Modeling | sv |
dc.subject | Volatility Forecasting | sv |
dc.subject | Risk Assessment | sv |
dc.subject | Bank Regulation | sv |
dc.title | Comparing methods for identifying G-SIBs in Europe | sv |
dc.type | Text | |
dc.setspec.uppsok | SocialBehaviourLaw | |
dc.type.uppsok | H2 | |
dc.contributor.department | University of Gothenburg/Graduate School | eng |
dc.contributor.department | Göteborgs universitet/Graduate School | swe |
dc.type.degree | Master 2-years | |