Pitfalls in the Use of Systemic Risk Measures

2014 ◽  
Author(s):  
Gunter LLffler ◽  
Peter Raupach
Keyword(s):  
Systemic Risk ◽  
Risk Measures

On the ranking consistency of systemic risk measures: empirical evidence*

2021 ◽  
pp. 1-30
Author(s):  
Michael Abendschein ◽  
Peter Grundke
Keyword(s):  
Empirical Evidence ◽  
Systemic Risk ◽  
Risk Measures

scholarly journals Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods

2021 ◽  
Author(s):  
Sheri Markose ◽  
Simone Giansante ◽  
Nicolas A. Eterovic ◽  
Mateusz Gatkowski
Keyword(s):  
Early Warning ◽  
Systemic Risk ◽  
Value At Risk ◽  
Risk Measures ◽  
Market Price ◽  
System Stability ◽  
Conditional Value At Risk ◽  
Centrality Measures ◽  
Global Banking ◽  
Pair Method

AbstractWe analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes, viz. Marginal Expected Shortfall, Delta Conditional Value-at-Risk, and Conditional Capital Shortfall Measure of Systemic Risk in a cross-border setting. Unlike paradoxical market price based risk measures, which underestimate risk during periods of asset price booms, the eigen-pair method based on bilateral balance sheet data gives early-warning of instability in terms of the tipping point that is analogous to the R number in epidemic models. For this regulatory capital thresholds are used. Furthermore, network centrality measures identify systemically important and vulnerable banking systems. Market price-based SRIs are contemporaneous with the crisis and they are found to covary with risk measures like VaR and betas.

Short Communication: Robust Market-Adjusted Systemic Risk Measures

2021 ◽  
Vol 12 (3) ◽  
pp. SC70-SC82
Author(s):  
Matteo Burzoni ◽  
Marco Frittelli ◽  
Federico Zorzi
Keyword(s):  
Systemic Risk ◽  
Short Communication ◽  
Risk Measures

scholarly journals A review of individual and systemic risk measures in terms of applicability for banking regulations

2016 ◽  
Vol 10 (1) ◽  
pp. 71-82 ◽  
Author(s):  
Katarzyna Sum
Keyword(s):  
Systemic Risk ◽  
Risk Measures ◽  
Banking Regulations

Systemic Risk, Stress Testing, and Financial Contagion

2014 ◽  
pp. 282-310
Author(s):  
Calixto Lopez-Castañon ◽  
Serafin Martinez-Jaramillo ◽  
Fabrizio Lopez-Gallo
Keyword(s):  
Systemic Risk ◽  
Research Agenda ◽  
Stress Testing ◽  
Risk Measures ◽  
Banking System ◽  
Financial Contagion ◽  
Interbank Market ◽  
Coherent Risk ◽  
Central Bankers ◽  
Standard Risk

Despite the acknowledgment of the relevance of Systemic Risk, there is a lack of consensus on its definition and, more importantly, on the way it should be measured. Fortunately, there is a growing research agenda and more financial regulators, central bankers, and academics have recently been focusing on this field. In this chapter, the authors obtain a distribution of losses for the banking system as a whole. They are convinced that such distribution of losses is the key element that could be used to develop relevant measures for systemic risk. Their model contemplates several aspects, which they consider important regarding the concept of systemic risk: an initial macroeconomic shock, which weakens some institutions (some of them to the point of failure), a contagion process by means of the interbank market, and the resulting losses to the financial system as a whole. Finally, once the distribution is estimated, the authors derive standard risk measures for the system as a whole, focusing on the tail of the distribution (where the catastrophic or systemic events are located). By using the proposed framework, it is also possible to perform stress testing in a coherent way, including second round effects like contagion through the interbank market. Additionally, it is possible to follow the evolution of certain coherent risk measures, like the CVaR, in order to evaluate if the system is becoming more or less risky, in fact, more or less fragile. Additionally, the authors decompose the distribution of losses of the whole banking system into the systemic and the contagion elements and determine if the system is more prone to experience contagious difficulties during a certain period of time.

Can systemic risk measures predict economic shocks? Evidence from China

2020 ◽  
Vol 64 ◽  
pp. 101557
Author(s):  
Guojin Chen ◽  
Yanzhen Liu ◽  
Yu Zhang
Keyword(s):  
Systemic Risk ◽  
Risk Measures ◽  
Economic Shocks

scholarly journals On dependence consistency of CoVaR and some other systemic risk measures

2014 ◽  
Vol 31 (1) ◽  
Author(s):  
Georg Mainik ◽  
Eric Schaanning
Keyword(s):  
Systemic Risk ◽  
Risk Measures

Systemic risk measures on general measurable spaces

2016 ◽  
Vol 84 (2) ◽  
pp. 323-357 ◽  
Author(s):  
E. Kromer ◽  
L. Overbeck ◽  
K. Zilch
Keyword(s):  
Systemic Risk ◽  
Risk Measures
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