: SIFIs SIFIs FSB : : F831 : A (IMF) (FSB) (BIS) ; ( Systemically Important Financial Institutions SIFIs) Bernanke (2009) (too interconnected to fail) Rajan (2009) (too systemic to fail) SIFIs : /2011.11 57
( SIFIs ) : SIFIs ; SIFIs 20 80 ( ) SIFIs (G-SIFIs) SIFIs ( ) IMF FSB BIS 2009 10 SIFIs (BCBS) (MPG) MPG + 2010 10 11 2010 12 SIFIs : SIFIs SIFIs SIFIs : 1. 2. 1 : Patrick and Davies (2009) 1. : JP 2. : 3. : 4. : 5. : 6. : 7. : 8. : 9. : 10. : 11. : 58 /2011.11
(1) SIFIs SIFIs (2) SIFIs (3) BCBS SIFIs (G-SIFIs) SIFIs 28 G-SIBs FSB Shortfall) G-SIFIs MES SIFIs ( ) MES MES FSB MES Acharya SIFIs SIFIs (2009) Acharya et al. (2009 2010) (2011) Jian Yang and Yinggang Zhou (2009) BCBS (con- SIFIs tinuous measure) (bucketing approach) VAR SIFIs ( ) : ; ; ; (Marginal Expected Shortfall MES FSB ) (Shapley Value) BCBS 2011 7 (CoVaR) (CDS (G-SIBs) spread) (Extreme Value) BCBS 1. ( Marginal Expected ( Systemic Expected Shortfall SES) SIFIs SIFIs ; SES SES SIFIs MES /2011.11 59
Brownlees and Engle (2011) SIFIs 19 CDS MES ( Huang Zhou and Zhu (Systemic Risk Index SRISK) 2011) Yang and Zhou (2009) CDS SRISK ) CDS 2. (Shapley Value) Shapley Value SIFIs Yang and Zhou (2009) SIFIs (Tara- : SIFIs shev et al. 2010; Gauthier et al. 2010; Liu and Staum 2010; Drehmann and Tarashev 2011) SIFIs 20 70 3. (CoVaR) CoVaR VaR 5. (Extreme Value Theory) Zhou (2008) Extreme Value Theory CoVaR Goodhart (2009) (Probability That at Least One Bank Becomes Distressed PAO) Zhou (2010) CoVaR CoVaR ( Adrian and Brunnermeier 2010) CoVaR ( Systemic Impact Index SII) ( Vulnerability Index VI) EVT : CoVaR 4. (CDS spread) Acharya et al. (2010) SIFIs SES SES CDS ) CDS Huang Zhou and Zhu (2009 2011) (2007 1 2008 9 SIFIs SIFIs EVT SIFIs ( CDS Zhou (2010) SII PAO VI 28 ( ) CDS 3 ( SII 2) Huang Zhou and Zhu (2009) CDS EVT Gravelle T. and F. Li (2010) 60 /2011.11
Safeco 43.33 26.64 17.90 135.03 86.26 75.36 8.91 250.67 AIG 96.04 96.93 8.93 446.24 38.72 27.42 9.86 125.92 62.14 61.54 10.72 293.26 44.75 35.84 4.33 155.56 52.83 43.50 5.45 173.00 70.83 66.28 4.77 253.10 39.01 30.67 4.94 155.00 37.46 31.62 3.67 135.81 52.95 43.56 4.06 204.94 43.79 31.96 5.63 139.88 56.50 43.55 9.10 197.75 33.59 25.00 5.7 119.59 45.11 37.19 5.84 161.82 42.53 34.73 6.01 148.60 41.10 29.25 6.04 133.02 49.39 34.58 8.16 164.50 42.62 30.69 6.17 144.81 47.49 32.20 9.82 155.13 49.83 39.84 5.48 167.85 41.64 29.57 8.50 143.93 44.31 32.69 6.13 158.07 43.03 29.26 7.48 151.42 48.39 39.32 5.53 189.22 ING 44.84 39.80 4.62 177.49 28.86 24.47 3.00 99.83 52.24 37.72 9.86 186.26 53.97 48.12 4.55 225.25 2 CDS 32.22 21.83 6.40 87.58 32.09 22.06 5.25 88.15 139.16 103.80 20.81 425.14 114.66 96.36 20.83 727.14 77.69 47.16 20.90 244.44 123.28 94.52 15.63 342.19 103.52 73.09 17.83 297.30 54.60 39.33 8.68 147.25 97.94 90.68 11.10 358.51 70.45 57.51 7.44 226.60 JP 55.72 35.23 14.49 163.83 66.11 60.01 11.00 240.59 45.39 33.66 7.62 152.39 48.58 34.99 8.15 157.21 : Yang and Zhou (2009) /2011.11 61
: Zhou (2010) 3 28 : % SII PAO VI 10.15 75.00 11.28 11.70 85 12.59 11.60 100.00 14.49 BB&T 13.50 90.00 13.24 8.65 90.00 13.24 12.00 95.00 13.87 10.20 80.00 11.94 9.10 75.00 11.28 13.40 100.00 14.49 / 10.20 95.00 13.87 9.85 75.00 11.28 & 9.45 75.00 11.28 10.80 90.005 13.24 Key 12.45 90.00 13.24 M&T 13.10 95.00 13.87 & 13.15 100.00 14.49 8.25 70.00 10.61 PNC 12.20 95.00 13.87 11.85 95.00 13.87 9.80 65.005 9.92 12.85 100.00 14.49 11.25 95.00 13.87 TCF 10.60 90.00 13.24 12.80 100.00 14.49 10.80 85.00 12.59 11.35 90.00 13.24 13.50 90.00 13.24 11.35 95.00 13.87 : (1) (Segoviano and Goodhart 2009; Huang et al. SIFIs (RBC) (TD) (BNS) 2009 2010 2011; Zhou 2009; Chan -Lau 2010) (2) SIFIs (3) SIFIs 62 /2011.11
Robert Engle SIFIs (NYU Stern) (Volatility Laboratory V-Lab) FSB ( ) 1990 (Systemic Risk Contribution Index) SIFIs ( ) AIG CDS SIFIs SIFIs IMF BIS ( BCBS) FSB G-SIFIs SIFIs SIFIs MES Shapley CoVaR CDS (Geneva Association 2011) FSB 20 70 SIFIs FSB SIFIs ( ) (timing) ( ) SIFIs SIFIs ( ) ( ) FSB (IAIS) SIFIs SIFIs SIFIs ( ) SIFIs ( ) /2011.11 63
SIFIs : SIFIs SIFIs SIFIs SIFIs SIFIs SIFIs SIFIs SIFIs ; SIFIs SIFIs SIFIs SIFIs SIFIs ( ) : [ 1] Acharya V. Yorulmazer T. Too Many to Fail: An Analysis of Time-inconsistency in Bank Closure Policies [R]. Bank of England Working Paper 2007 (319). [2] Acharya V. A Theory of Systemic Risk and Design of Prudential Bank Regulation [J]. Journal of Financial Stability 2009 (5): 224~255. [3] Acharya V. Pedersen L Philippon T. and Richardson M. Regulating Systemic Risk. Chapter 13 in Acharya Viral. V. and Matthew Richardson Restoring Financial Stability: How to Repair a Failed System [M]. John Wiley & Sons 2009. [4] Acharya V. Santos J. Yorulmazer T. Systemic Risk and Deposit Insurance Premiums [J]. Economic Policy Review Federal Reserve Bank of New York 2010 (8). [5] Adrian T. Brunnermeier M. CoVaR [R]. Federal Reserve Bank of New York Staff Reports 2010 (348). [ 6] Bernanke B. Financial Reform to Address Systemic Risk [R]. Speech at the Council on Foreign Relations Washington DC 2009 (10). [7] BCBS Global Systemically Important Banks: Assessment Methodology and the Additional Loss Absorbency Requirement [R]. 2011. [8] Brownlees C. Engle R. Volatility Correlation and Tails for Systemic Risk Measurement [R]. Working Paper New York University 2011. [ 9] Chan Lau J. Balance Sheet Network Analysis of Too -connected -to -fail Risk in Global and Domestic Banking Systems [R]. IMF Working Paper No. 10/107 2010. [10] Deutsche Bank Research. Identifying Systemically Important Financial Institutions [R]. 2011. [11] Zhou C. Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions [J]. International Journal of Central Banking 2010. [12] Zhou C. On Extreme Value Statistics. PhD Thesis [D]. Tinbergen Institute 2008. Abstract: How to identify Systemically Important Financial Institutions is one of the most important problems of global financial supervision after the sub -prime crisis. Combined with the studies conducted by international financial regulating institutions and scholars we find there are two categories of identification methods namely the indicator methodology and market methodology. This paper proposes that only concerning the indicators proposed by FSB such as the size interconnectedness and substitutability of financial institutions is not enough in identifying SIFIs. Some risks born from crosscountries merging activities and some new activities should be paid closer attention. Keywords: Systemically Important Financial Institutions ( SIFIs) ; Identification Methods; Indicator Methodology; Market Methodology 64 /2011.11