On the ranking consistency of systemic risk measures: empirical evidence*

Abstract

We empirically analyze the extent to which popular systemic risk measures (SRMs) yield comparable results regarding the systemic importance of a financial institution. More important, we also examine determinants of the degree of consistency in the classification according to the various SRMs. In general, rank correlations tend to be more associated with macroeconomic variables such as the unemployment rate than with bank-individual variables. Our results also reveal that rank correlations are particularly sensitive to the overall market conditions. During more volatile market phases, rank correlations are slightly larger than during less volatile phases. Furthermore, their association with bank-individual and macroeconomic variables changes with the market conditions. The less volatile the market, the more relevant the bank-individual variables become in explaining the rank correlations. Contrary, during less volatile market phases, the relevance of macroeconomic variables decreases. Overall, the analyses reveal a difficulty in detecting specific explanatory factors for the consistency in systemic risk rankings across settings.