Systemic Risk of SIFIs in the Post-2008 Great Financial Crisis Era: A Tail-Risk Network Approach

Activity: Talks or PresentationsOther Invited Talks or Presentations


We examine the systemic risk of 61 SIFIs (i.e., 33 G-SIB and 28 IAIG) between 2010 and 2023. We estimate SIFI’s CoVaR using a single index model with LASSO variable selection and construct a set of tail risk network-based systemic risk measures for SIFIs. The results show that two shocks (COVID-19 Pandemic in 2020 and Russia – Ukraine crisis in 2022) imposed significant risks to SIFIs. However, the recent failures of Credit Suisse and US regional banks do not significantly affect the SIFI’s systemic risk. We also find that the systemic risk of G-SIB Grangerly cause the systemic risk of IAIG, but not vice versa. Our findings have important implications. I.e., the financial system in the post-GFC era may be vulnerable to unforeseen uncertainties, such as pandemics and geopolitical risk. And the financial system could be more resilient to the uncertainty associated with SIFIs that are deemed as “Too-Important-To-Fail.”
Period30 May 2023
Event titleData Science and AI Forum 2023
Event typeForum
LocationHong KongShow on map