 What is the systemic risk exposure of financial institutions?Journal of Financial Stability, 2016, vol. 24, issue C, 71-87 Abstract: I compare the performance of three measures of institution-level systemic risk exposure — Exposure CoVaR (Adrian and Brunnermeier, 2016), systemic expected shortfall (Acharya et al., 2016), and Granger causality (Billio et al., 2012). I modify Exposure CoVaR to allow for forecasting, and estimate the ability of each measure to forecast the performance of financial institutions during systemic crisis periods in 1998 (LTCM) and 2008 (Lehman Brothers). I find that Exposure CoVaR forecasts the within-crisis performance of financial institutions, and provides useful forecasts of future systemic risk exposures. Systemic expected shortfall and Granger causality do not forecast the performance of financial institutions reliably during crises. I also find, using cross-sectional regressions, that foreign equity exposure and securitization income determine systemic risk exposure during the 1998 and 2008 crises, respectively; financial institution size determines systemic risk exposure during both crisis periods; and executive compensation does not determine systemic risk exposure. Keywords: Systemic risk; Banking crises; Financial institutions (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:24:y:2016:i:c:p:71-87 DOI: 10.1016/j.jfs.2016.04.005 Access Statistics for this article Journal of Financial Stability is currently edited by I. Hasan, W. C. Hunter and G. G. Kaufman More articles in Journal of Financial Stability from Elsevier |
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