Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258518 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 9 [Article No.:] 414 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank's loss portfolio with a recent accounting approach, we perform a comprehensive empirical study of this loss beta measure and document all TBTF banks from 2002 to 2019. Our empirical findings suggest a significant number of too-big-to-fail banks in 2018-2019.
Subjects: 
systemic risk
capital insurance
loss beta
too big to fail
JEL: 
G11
G12
G13
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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