A Systematic approach to identify systemically important firms

dc.contributor.author	Aggarwal, Natasha
dc.contributor.author	Arora, Sanchit
dc.contributor.author	Behl, Akhil
dc.contributor.author	Grover, Rohini
dc.contributor.author	Khanna, Shashwat
dc.contributor.author	Thomas, Susan
dc.date.accessioned	2015-08-10T08:29:09Z
dc.date.available	2015-08-10T08:29:09Z
dc.date.issued	2013-10
dc.identifier.uri	http://hdl.handle.net/2275/295
dc.description.abstract	This paper uses the average of the percentile ranking of three measures of systemic risk { Granger Causality, Marginal Expected Shortfall,and Conditional Value at Risk { to calculate a single systemic risk index (SRI) for a firm. The SRI is used to identify systemically important firms (SIFs) among the 50 largest firms in a quarter. This has the advantage of identifying SIFs on a regular basis using readily available data. The paper uses this approach to identify SIFs by SRI each quarter from 2000 to 2012, and finds that the cumulative risk of the SIFs tracks the changes in systemic risk in India during the 2008 crisis. The paper also finds merit in monitoring non-financial firms by their SRI, particularly when bank loan portfolios have concentrated exposures in these firms.	en_US
dc.language.iso	en	en_US
dc.relation.ispartofseries	WP;WP-2013-021
dc.subject	systemic risk	en_US
dc.subject	systemic risk index	en_US
dc.title	A Systematic approach to identify systemically important firms	en_US
dc.type	Working Paper	en_US