Du MEDAF avec risque systémique à la détermination des institutions financières d’importance systémique

Jean-Charles Garibal, Patrick Kouontchou and Bertrand Maillet

Revue économique, 2018, vol. 69, issue 3, 443-475

Abstract: We propose herein to test an extension of the traditional capital asset pricing model (CAPM), in which is added a factor of systemic risk, build thanks to a sparse principal component analysis (SPCA) of a large set of systemic risk measures, as recently proposed by several authors. Empirical tests show that, on the American equities market, the new systemic risk factor is highly significant when pricing assets. At the end, we propose an original application in order to detect and rank systemically important financial institutions (SIFI).

Keywords: CAPM; systemic risk; SIFI (search for similar items in EconPapers)
Date: 2018
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