Measuring systemic risk: A comparison of alternative market-based approaches

Jacob Kleinow, Fernando Moreira, Sascha Strobl and Sami Vähämaa

Finance Research Letters, 2017, vol. 21, issue C, 40-46

Abstract: This paper compares four commonly used systemic risk metrics using data on U.S. financial institutions over the period 2005–2014. The four systemic risk measures examined are the (i) marginal expected shortfall, (ii) codependence risk, (iii) delta conditional value at risk, and (iv) lower tail dependence. Our results demonstrate that the alternative measurement approaches produce very different estimates of systemic risk. Furthermore, we show that the different systemic risk metrics may lead to contradicting assessments about the riskiness of different types of financial institutions. Overall, our findings suggest that systemic risk assessments based on a single risk metric should be approached cautiously.

Keywords: Systemic risk; Marginal expected shortfall; Codependence risk; Delta conditional value at risk; Lower tail dependence; Bank risk-taking; Financial crisis (search for similar items in EconPapers)
JEL-codes: G01 G21 G32 G33 G34 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:40-46

DOI: 10.1016/j.frl.2017.01.003

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