A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market

Akio Hattori, Kentaro Kikuchi, Fuminori Niwa and Yoshihiko Uchida
Additional contact information
Akio Hattori: Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: akio.hattori@boj.or.jp)
Kentaro Kikuchi: Deputy Director and Economist, Institute for Monetary and Economic Studies, Bank of Japan (currently, Lecturer, Faculty of Economics, Shiga University, E-mail: kentaro-kikuchi@biwako. shiga-u.ac.jp)
Fuminori Niwa: Deputy Director and Economist, Institute for Monetary and Economic Studies (currently, Financial Markets Department), Bank of Japan (E-mail: fuminori.niwa@boj.or.jp)
Yoshihiko Uchida: Director and Senior Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: yoshihiko.uchida@boj.or.jp)

No 14-E-03, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: The recent financial crisis has prompted academia, country authorities, and international bodies to study quantitative tools to monitor the financial system, especially systemic risk measures. This paper aims to outline these measures and apply them to Japan fs financial system. The paper demonstrates that they are effective tools for monitoring the robustness of financial system on a real-time basis, although there are some caveats.

Keywords: Systemic risk; Risk measure; Early warning indicators; Stress test; Scenario analysis; Macro-prudence; Financial crisis (search for similar items in EconPapers)
JEL-codes: C51 G01 G19 (search for similar items in EconPapers)
Date: 2014-04
New Economics Papers: this item is included in nep-ban, nep-cba, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:ime:imedps:14-e-03

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