The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater...

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. Our allocation principle distributes the total systemic risk...

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR conditional on the institution being under distress and the...

Introduction / Markus Brunnermeier and Arvind Krishnamurthy -- Measurement and disclosure. Challenges in identifying and measuring systemic risk / Lars Peter Hansen ; Regulating systemic risk through transparency: tradeoffs in making data public / Augustin Landier and David Thesmar -- Risk...