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Closed Form Solutions of Measures of Systemic Risk

Jaeger-Ambrozewicz, Manfred - 2012

This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier (2010) and Acharya et al. (2009) have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific...

Persistent link: https://www.econbiz.de/10013115707

SRISK : A Conditional Capital Shortfall Measure of Systemic Risk

Brownlees, Christian - 2016

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...

Persistent link: https://www.econbiz.de/10013008885

Option Implied Measures of Systemic Risk in the US Financial Sector : Operator and Quadrature Measures of Extreme Events

Zhang, Yang - 2017

component of a standard bank stress-testing model …

Persistent link: https://www.econbiz.de/10012967021

SRISK : A Conditional Capital Shortfall Measure of Systemic Risk

Brownlees, Christian; Engle, Robert F. - 2021

Persistent link: https://www.econbiz.de/10013248860

Systemic risk and sentiment : chapter contribution to handbook on systemic risk ; [edited by Jean-Pierre Fouque and Joe Langsam]

Barone-Adesi, Giovanni; Mancini, Loriano; Shefrin, Hersh - 2011

Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic risk, we use Marginal Expected...

Persistent link: https://www.econbiz.de/10009375111

SinkRank : an algorithm for identifying systemically important banks in payment systems

Soramäki, Kimmo; Cook, Samantha - 2013

The ability to accurately estimate the extent to which the failure of a bank disrupts the financial system is very … of a bank in a payment system and identifies banks most affected by the failure. SinkRank is based on absorbing Markov … chains, which are well-suited to model liquidity dynamics in payment systems. Because actual bank failures are rare and the …

Persistent link: https://www.econbiz.de/10009759774

Measuring macroprudential risk

Tymoigne, Éric - 2011

With the Great Recession and the regulatory reform that followed, the search for reliable means to capture systemic risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been institutionalized through the Financial Stability Oversight...

Persistent link: https://www.econbiz.de/10008906569

Robustness and informativeness of systemic risk measures

Löffler, Gunter; Raupach, Peter - 2013

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal expected shortfall, and option-based tail risk...

Persistent link: https://www.econbiz.de/10009720895

Systemic Risks and Macroprudential Bank Regulation : A Critical Appraisal

VanHoose, David D. - 2011

This paper discusses and critically appraises recent developments in the definition, measurement, and regulation of … only recently have a variety of institution-level systemic-risk measurement techniques been proposed. Thus, regulators …

Persistent link: https://www.econbiz.de/10013126517

Measuring Macroprudential Risk : Financial Fragility Indexes

Tymoigne, Eric - 2011

Persistent link: https://www.econbiz.de/10013128524