A Systemic Importance Score for Identifying Systemically Important Banks

After the recent global financial crisis, great focus has been raised on the identification of systemically important banks. Therefore, simple and intuitive indicators on banks’ systemic importance are urgently needed. This paper provides a new estimation method to measure and identify systemically important banks. We define quantitatively a systemic importance score (SIS) as the expected number of bank failures in the banking system given one...