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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorBenoit, Sylvain
dc.date.accessioned2019-09-19T14:11:56Z
dc.date.available2019-09-19T14:11:56Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19850
dc.language.isoenen
dc.subjectSystemic Risken
dc.subjectRisk Managementen
dc.subjectMacroprudential Regulationen
dc.subjectSystemically Important Financial Institutionsen
dc.subjectBankingen
dc.subject.ddc332en
dc.subject.classificationjelG.G3.G32en
dc.subject.classificationjelG.G2.G28en
dc.subject.classificationjelG.G0.G01en
dc.titleSmart Systemic-Risk Scoresen
dc.typeDocument de travail / Working paper
dc.description.abstractenI 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.en
dc.publisher.nameSSRN Working Paper Seriesen
dc.identifier.citationpages49en
dc.relation.ispartofseriestitleSSRN Working Paper Seriesen
dc.identifier.urlsitehttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=3279614en
dc.subject.ddclabelEconomie financièreen
dc.identifier.citationdate2018
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-09-19T09:39:00Z
hal.identifierhal-02292311*
hal.version1*
hal.author.functionaut


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