Systemic risk of systemically important financial institutions in the post‐2008 global financial crisis era: A tail risk network analysis

We examine the systemic risk of 46 systemically important financial institutions (SIFIs), that is, 34 global systemically important banks (G-SIBs) and 12 global systemically important insurers (G-SIIs) between 2010 and 2023. We use tail risk network-based systemic risk measures for SIFIs. We find that G-SIBs' systemic risk is driven by various shocks, including the 2011–2012 Eurozone crisis, the 2018–2019 US–China trade tensions, and the 2023 US regional bank crisis. In contrast, G-SIIs' systemic risk is largely driven by the 2020 COVID-19 pandemic. Moreover, the distribution and correlation of systemic risk for G-SIBs and G-SIIs vary significantly across jurisdictions. We also find a bidirectional causal relationship between G-SIBs' and G-SIIs' systemic risk. Our findings have important implications for the tail risk independence and stability of the financial system.