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Quantifying Systemic Risk [PDF]
IMF Working Papers, 2010 This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory.
Gianni De Nicolò, Marcella Lucchetta
core +38 more sources
Measuring and Allocating Systemic Risk [PDF]
Risks, 2019 In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system.
Markus K. Brunnermeier +1 more
doaj +7 more sources
Applied Economics, 2022 How do changes in Environmental, Social and Governance (ESG) scores influence banks’ systemic risk contribution? Using a dynamic panel model, we document a beneficial impact of the ESG Combined Score and Governance pillar on banks’ contribution to system-
George Aevoae +3 more
semanticscholar +3 more sources
Review of Financial Studies, 2010 We present an economic model of systemic risk and show that each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), i.e., its propensity to be undercapitalized when the system as a whole is ...
V. Acharya +3 more
semanticscholar +6 more sources
Measures of Systemic Risk [PDF]
SIAM Journal on Financial Mathematics, 2016 Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient macroprudential ...
Feinstein, Zachary +2 more
core +5 more sources
Regulating Systemic Risk [PDF]
SSRN Electronic Journal, 2010 The failure to spot emerging systemic risk and prevent the current global financial crisis warrants a reexamination of the approach taken so far to crisis prevention. The paper argues that financial crises can be prevented, as they build up over time due
Kawai, Masahiro, Pomerleano, Michael
core +9 more sources
On the Origin of Systemic Risk
SSRN Electronic Journal, 2020 Systemic risk in the banking sector is usually associated with long periods of economic downturn and very large social costs. On one hand, shocks coming from correlated exposures towards the real economy may induce correlation in banks’ default ...
Mattia Montagna, G. Torri, Giovanni Covi
semanticscholar +5 more sources
Endogenous Systemic Liquidity Risk [PDF]
SSRN Electronic Journal, 2008 Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing, 2007), this paper analyses the adequate policy response to endogenous systemic liquidity risk.
Cao, Jin, Illing, Gerhard
core +12 more sources
What is the Minimal Systemic Risk in Financial Exposure Networks? [PDF]
Journal of Economic Dynamics and Control, 2019 Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the financial crisis ...
Diem, Christian +2 more
core +4 more sources
SSRN Electronic Journal, 2000 This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related ...
De Bandt, Olivier, Hartmann, Philipp
core +5 more sources