We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non …'s systematic risk, idiosyncratic risk, size or contagiousness increases the risk of the system but lowers the measured SRC of the … potentially adverse side effects: A change in a bank's risk structure can make the measured SRC of its competitors increase more …

In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all … analyzing the related data or to construct a measure of systemic risk. There are many published survey papers on systemic risk … systemic risk indicators. This chapter is an attempt to contribute to filling this gap. …

institutions contribute to systemic risk. In this investigation, ΔCoVaR, Marginal Expected Shortfall (MES), SRISK and Granger … model fit. The most suitable sophisticated risk measure seems to be SRISK …This paper evaluates whether sophisticated or simple systemic risk measures are more suitable in identifying which …