EconPapers    
Economics at your fingertips  
 

A Theoretical and Empirical Comparison of Systemic Risk Measures

Sylvain Benoît, Gilbert Colletaz (gilbert.colletaz@univ-orleans.fr), Christophe Hurlin and Christophe Perignon (perignon@hec.fr)
Additional contact information
Sylvain Benoît: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique
Gilbert Colletaz: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: We 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.

Keywords: Banking Regulation; Systemically Important Financial Firms; Marginal Expected; Shortfall; SRISK; CoVaR; Systemic vs. Systematic Risk.; Systemic vs. Systematic Risk (search for similar items in EconPapers)
Date: 2013-06-18
New Economics Papers: this item is included in nep-ban, nep-fmk and nep-rmg
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00746272v2
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (106)

Downloads: (external link)
https://shs.hal.science/halshs-00746272v2/document (application/pdf)

Related works:
Working Paper: A Theoretical and Empirical Comparison of Systemic Risk Measures (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-00746272

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD (hal@ccsd.cnrs.fr).

 
Page updated 2025-03-19
Handle: RePEc:hal:wpaper:halshs-00746272