Systemic risk of systemically important financial institutions in the post‐2008 global financial crisis era: A tail risk network analysis

Abstract We examine the systemic risk of 46 systemically important financial institutions (SIFIs), that is, 34 global systemically important banks (G‐SIBs) and 12 global systemically important insurers (G‐SIIs) between 2010 and 2023. We use tail risk network‐based systemic risk measures for SIFIs. We find that G‐SIBs' systemic risk is driven by various shocks, including the 2011–2012 Eurozone crisis, the 2018–2019 US–China trade tensions, and the 2023 US regional bank crisis. In contrast, G‐SIIs' systemic risk is largely driven by the 2020 COVID‐19 pandemic. Moreover, the distribution and correlation of systemic risk for G‐SIBs and G‐SIIs vary significantly across jurisdictions. We also find a bidirectional causal relationship between G‐SIBs' and G‐SIIs' systemic risk. Our findings have important implications for the tail risk independence and stability of the financial system.