Show simple item record

A Theoretical and Empirical Comparison of Systemic Risk Measures

hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorBenoit, Sylvain
hal.structure.identifierLaboratoire d'Économie d'Orleans [UMR7322] [LEO]
dc.contributor.authorColletaz, Gilbert
hal.structure.identifierLaboratoire d'Économie d'Orleans [UMR7322] [LEO]
dc.contributor.authorHurlin, Christophe
hal.structure.identifierGroupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
dc.contributor.authorPérignon, Christophe
dc.date.accessioned2019-09-19T14:20:34Z
dc.date.available2019-09-19T14:20:34Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19852
dc.language.isoenen
dc.subjectBanking Regulationen
dc.subjectSystemically Important Financial Firmsen
dc.subjectMarginal Expected Shortfallen
dc.subjectSRISKen
dc.subjectCoVaRen
dc.subjectSystemic vs. Systematic Risken
dc.subject.ddc332en
dc.subject.classificationjelG.G3.G32en
dc.subject.classificationjelG.G0.G01en
dc.titleA Theoretical and Empirical Comparison of Systemic Risk Measuresen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g. beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.en
dc.publisher.nameSSRN Working Paper Seriesen
dc.identifier.citationpages47en
dc.relation.ispartofseriestitleSSRN Working Paper Seriesen
dc.identifier.urlsitehttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=1973950en
dc.subject.ddclabelEconomie financièreen
dc.identifier.citationdate2014
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-09-19T12:48:22Z
hal.identifierhal-02292323*
hal.version1*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record