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    Non-financial corporations and systemic risk

    Dungey, Mardi and Flavin, Thomas and O'Connor, Thomas and Wosser, Michael (2022) Non-financial corporations and systemic risk. Journal of Corporate Finance, 72. p. 102129. ISSN 09291199

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    We investigate the systemic importance of U.S. non-financial corporations and analyse the firmspecific characteristics that identify systemically important non-financial firms. We compute two firm-specific measures of systemic risk for 1145 non-financial corporations and confirm that these firms are both vulnerable to systemic shocks and contribute to system-wide risk, though firms that are high in one dimension of risk are not necessarily high in the other. Systemic risk measures exhibit substantial variation across firms and over time. The firm's beta, value-at-risk, size, debt and trade credit are related to both dimensions of systemic risk, while a range of other firm characteristics are associated with systemic risk in at least one direction. The differences between the dimensions of risk and their associated characteristics underline the importance of analysing both measures of risk.

    Item Type: Article
    Keywords: Systemic risk; MES ΔCoVaRNon-financial corporations; Financial crises;
    Academic Unit: Faculty of Social Sciences > School of Business
    Item ID: 17212
    Identification Number:
    Depositing User: Thomas Flavin
    Date Deposited: 23 May 2023 10:14
    Journal or Publication Title: Journal of Corporate Finance
    Publisher: Elsevier
    Refereed: Yes
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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