Where the Risks Lie: A Survey on Systemic Risk

Benoit, Sylvain; Colliard, Jean-Edouard; Hurlin, Christophe; Pérignon, Christophe

Benoit, Sylvain; Colliard, Jean-Edouard; Hurlin, Christophe; Pérignon, Christophe (2017), Where the Risks Lie: A Survey on Systemic Risk, Review of Finance, 21, 1, p. 109-152. 10.1093/rof/rfw026

Type

Article accepté pour publication ou publié

External document link

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2577961

Date

2017

Journal name

Review of Finance

Volume

Number

Publisher

Kluwer Academic Publishers

Pages

109-152

Abstract (EN)

We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take stock of the achievements of this rapidly growing field, we identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory tools. The second approach uses market data to produce global measures which are not directly connected to any particular theory, but could support a more efficient regulation. Bridging this gap will require encompassing theoretical models and improved data disclosure.

Subjects / Keywords

Banking; Macroprudential Regulation; Systemically Important Financial Institutions; Financial Crises; Too-Big-To-Fail; G01; G32

JEL

G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G01 - Financial Crises