Smart Systemic-Risk Scores
Benoit, Sylvain (2018), Smart Systemic-Risk Scores. https://basepub.dauphine.fr/handle/123456789/19850
TypeDocument de travail / Working paper
External document linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=3279614
SSRN Working Paper Series
Series titleSSRN Working Paper Series
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Laboratoire d'Economie de Dauphine [LEDa]
Abstract (EN)I propose a new systemic-risk score to identify and regulate systemically important financial institutions (SIFIs) by using an alternative weighting scheme based on volatility to aggregate all systemic-risk facets. Following a portfolio management approach, I equalize the risk contribution of each systemic-risk component to the cross-sectional volatility of my smart systemic-risk scores. To discriminate between several systemic-risk scores, I apply an axiomatic framework to express supervisor preferences among systemic-risk scores. Such preferences are based on the expected value of the cross-sectional dispersion of systemic-risk scores over the years.
Subjects / KeywordsSystemic Risk; Risk Management; Macroprudential Regulation; Systemically Important Financial Institutions; Banking
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