Natasha Agarwal, Sanchit Arora, Akhil Behl, Rohini Grover, Shashwat Khanna, Susan Thomas
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We combine three measures of systemic importance
of a firm – Granger Causality, Marginal Expected
Shortfall, and Conditional Value at Risk – to
calculate a single systemic risk index
(SRI). The SRI is used to identify systemically
important firms (SIFs) among the 50 largest
firms in a large emerging market, India. This
work unifies the treatment of non-financial
firms with the analysis of financial firms, with
non-financial firms appearing prominently in the
ranking of the highest values of SRI. The
methods and results of this paper are useful for
identifying SIFs, and raise new questions
about how to approach systemic risk regulation. |