Balance sheet data can help gauge systemic risk, ECB paper says
Researchers present methodology for assessing large and small lenders based on SRisk measure
Supervisors can usefully estimate systemic risk to banks by using balance sheet data, a working paper published by the European Central Bank finds.
Estimating systemic risk for non-listed euro-area banks is co-written by Robert Engle, one of the creators of SRisk. Since it was first published in 2017, SRisk has been widely used to measure financial institutions’ vulnerability to sudden economic downturns.
But it currently “cannot be applied to non-listed banks”, say Engle and his co-authors
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