Identifying Systemically Important Banks: A temporal approach for macroprudential policies

A. Spelta, Alessandro Spelta, Nicolo' Pecora, P. Rovira Kaltwasser

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4 Citazioni (SciVal)


Contrary to the general belief, systemic risk does not only regard the risk posed by balance sheet relationships and interdependencies among institutions. It also features a temporal dimension related to the inappropriate responses of financial market participants to changes in risk over time. This paper proposes a method to simultaneously address the cross-sectional and the time dimension in which systemic risk materializes. The method is based on the TOPHITS algorithm. It provides three scores, namely borrowing, lending and time scores: the first two represent the systemic importance of the borrowing and the lending activity associated with each financial institution,while the third represents an empirical Early Warning Signal of the financial crisis. Our findings reveal that the identification of the time score as an indicator for an incoming market distress could be relevant to design macro prudential policies.
Lingua originaleEnglish
pagine (da-a)N/A-N/A
RivistaJournal of Policy Modeling
Stato di pubblicazionePubblicato - 2018


  • Early warnings
  • Evolving networks
  • Interbank market
  • Systemically important financial institutions
  • Tensor decomposition


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