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A Theoretical and Empirical Comparison of Systemic Risk Measures

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Date
2014
Publisher
SSRN Working Paper Series
Publishing date
2014
Collection title
SSRN Working Paper Series
Link to item file
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1973950
Dewey
Economie financière
Sujet
Banking Regulation; Systemically Important Financial Firms; Marginal Expected Shortfall; SRISK; CoVaR; Systemic vs. Systematic Risk
JEL code
G.G3.G32; G.G0.G01
URI
https://basepub.dauphine.fr/handle/123456789/19852
Collections
  • LEDa : Publications
Metadata
Show full item record
Author
Benoit, Sylvain
163511 Laboratoire d'Economie de Dauphine [LEDa]
Colletaz, Gilbert
199945 Laboratoire d'Économie d'Orleans [LEO]
Hurlin, Christophe
199945 Laboratoire d'Économie d'Orleans [LEO]
Pérignon, Christophe
1738 Groupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
Type
Document de travail / Working paper
Item number of pages
47
Abstract (EN)
We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g. beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.

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