The beauty contest between systemic and systematic risk measures: Assessing the empirical performance

Fabrizio Cipollini, Alessandro Giannozzi, Fiammetta Menchetti and Oliviero Roggi

Journal of Empirical Finance, 2020, vol. 58, issue C, 316-332

Abstract: To assess the empirical performance of systemic and systematic risk measures and to face some legitimate concerns in literature regarding the connections between those indicators, we investigate how the state (distressed or not) of a financial company at a given date is related to the corresponding risk indicators. Based on a combination of univariate and multivariate Cox regressions, our approach is applied to 2006–2010 data of 171 listed US financial companies (grouped in two subsamples, S&P and Non-S&P), on which we estimate different versions of nine popular systematic and systemic risk measures, along with leverage as control variable.

Keywords: Systemic and systematic risk; Cox model; Lasso penalization (search for similar items in EconPapers)
JEL-codes: G01 G21 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:58:y:2020:i:c:p:316-332

DOI: 10.1016/j.jempfin.2020.06.005

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