Sources of systemic risk in shadow banking and the formative indicators in PLS-SEM | Consequences of systemic risk in regulated banking sector are reflective indicators in PLS-SEM |
1) Complex derivatives such as collateralized debt obligations (CDOs) ($) {MICRO} Reference [10] | 1) Total regulatory capital ratio {MICRO} Reference [10] |
2) Complex derivatives such as collateralized loan obligations (CLOs) ($) {MICRO} Reference [10] | 2) Non-interest income scaled by interest income {MICRO} Reference [10] |
3) Repurchase agreements ($) {MICRO} Reference [10] | 3) Non-performing loans scaled by total loans {MICRO} Reference [10] |
4) Number of SB facilities incorporated in offshore financial centers associated with a bank adjusted for firm size {MACRO} Reference [10] | 4) Financial beta defined as volatility of bank share price relative to the overall stock market {MACRO} Reference [10] |
5) Number of associations with structured credit vehicles for a given bank adjusted for firm size {MACRO} Reference [10] | 5) Modified Basel Committee on Banking Supervision score approximating domestic systemic importance of banks {MACRO} Reference [10] |
6) The ratio of a bank’s stock price to the banking sector stock index {MACRO} Reference [23] |
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