•  
  • University of New South Wales
  • Macquarie University
  • The University of Sydney
  • University of Technology Sydney
  • Australian National University
  • The University of Melbourne
  • Capital Markets
  • Sirca
  • Commonwealth Bank
  • KPMG
  • King & Wood Mallesons
  • Macquarie
  • Australian Government - Treasury
  • New South Wales Goverment
 
 
 
 

CIFR Research Project

Detecting Systemically Important Risk - E102
Area of Interest: Systemic Risk  Lead Institution: University of Tasmania
Assessment Round: November 2012  Completion Date: 2015
Project Summary

Two critical issues emerging from the recent financial crisis are the importance of systemic risk and links between the financial sector and the real economy. A firm is systemically important if it is highly connected with strong transmission channels to other firms. Using measures of risk shocks from firms in all sectors of the economy we develop a measure of systemic risk which captures both the interconnections and the changing strength of these relationships over time. We also incorporate potentially important firm characteristics, such as size and leverage. The outcome will be identification of systemically important financial institutions in Australia and the US based on their own markets. We will extend this to links between geographic regions to incorporate international linkages and identify the globally systemically important financial institutions which are relevant to the local economy.

Team Leader:
Professor Mardi Dungey | Associate Dean of Research, Faculty of Business, University of Tasmania
Researchers:
Dr Matteo Luciani | Post-Doctoral Researcher, European Centre for Advanced Research in Economics and Statistics, Solvay Brussels School of Economics and Management, Université libre de Bruxelles
Professor David Veredas | Professor, Director Quantitative Finance Group, Solvay Brussels School of Economics and Management, Université libre de Bruxelles
Project Outputs:
 
 
 
 
 

 

The Centre for International Finance and Regulation (CIFR) represents a strategic link between academia, financial regulators, policy makers and industry, promoting financial sector vibrancy, resiliency and integrity, through leading research and education.

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