La mesure du risque systémique après la crise financière

Olivier de Bandt, Jean-Cyprien Héam, Claire Labonne and Santiago Tavolaro

Revue économique, 2015, vol. 66, issue 3, 481-500

Abstract: In response to the very large number of quantitative indicators that have been put forward to measure the level of systemic risk since the start of the 2008 financial crisis, the paper surveys the different indicators available in the economic and financial literature.?It distinguishes between (i) indicators related to institutions, based either on market data, accounting statements or supervisory information ; (ii) indicators addressing risks in financial markets and infrastructures ; (iii) indicators measuring interconnections and network effects, where research is currently very active ; and (iv) comprehensive indicators.?All these indicators are critically assessed and ways forward for a better understanding of systemic risk are suggested. Classification JEL : G2, G3, E44

JEL-codes: E44 G2 G3 (search for similar items in EconPapers)
Date: 2015
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