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Sovereign Adaptive Risk Modeling and Implications on the Eurozone GREXIT Case

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Submitted:

16 April 2018

Posted:

17 April 2018

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Abstract
In the wake of the 2008 financial crisis, the Financial Stability Board (FSB) and the Basel Committee on Banking Supervision (BCBS) created a list of Systemically Important Financial Institutions (SIFIs) with the intention of determining which financial institutions were important enough to the global market that their failure would result in systemic collapse. In this work we create a model that modifies the BCBS's five indicators of size, interconnectedness, cross-jurisdictional activities, complexity, and substitutability and applies these measures of systemic stress to governments. The original application of the model is to track the systemic interdependence of the Eurozone, with particular emphasis on the case of Greece. We anticipate this model can be used in regional fiscal situations beyond the Eurozone.
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Copyright: This open access article is published under a Creative Commons CC BY 4.0 license, which permit the free download, distribution, and reuse, provided that the author and preprint are cited in any reuse.

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