Title: Systemic risk ranking of US financial institutions

Authors: Abdelkader Derbali

Addresses: Higher Institute of Management of Sousse, Department of Finance, University of Sousse, 22 Street Zarkaa Al Yamama, Erriadh City, Sousse 4023, Tunisia

Abstract: The purpose of this paper is to measure systemic risk of US financial institutions during and following the period of the subprime crisis. So, we estimated the systemic risk of a sample composed by 90 US financial institutions during the period from 2 January 2007 to 31 December 2014. We employ the SRISK as a measure of systemic risk. We estimate the systemic risk for each year. Based on the SRISK estimated, we try to present a classification of US financial institutions and we present the decomposition of systemic risk. The empirical results found that the total systemic risk supported by the US financial institutions is very high. In addition, the contribution of each institution in the risk of the financial system in the USA is very important. After the decomposition of systemic risk, we show that the institutions that take on more debt, contribute positively and highly to systemic risk.

Keywords: systemic risk; SRISK; risk management; US financial institutions; DCC-GARCH.

DOI: 10.1504/IJMNE.2017.087574

International Journal of Management and Network Economics, 2017 Vol.4 No.1, pp.1 - 41

Received: 25 Feb 2016
Accepted: 28 Jun 2016

Published online: 21 Oct 2017 *

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