Systemic risk measures and regulatory challenges
Scott Ellis,
Satish Sharma and
Janusz Brzeszczynski
Journal of Financial Stability, 2022, vol. 61, issue C
Abstract:
This paper discusses different definitions of systemic risk and identifies the challenges, which regulators face in addressing this phenomenon. We conducted a systematic literature review of 4859 abstracts to categorize the various methodologies developed to measure systemic risk. In total, 60 systemic risk measures proposed post-2000 have been critically appraised to inform academics and regulators of their practical applications and model vulnerabilities. This review suggests that most of these methods focus on individual financial institutions rather than on system stability. Those methodologies directly reflect the current regulations, which aim to ensure individual institutions’ soundness. As macro-prudential regulation evolves, policy-makers face the issues of understanding contagion and how regulations should be implemented. This paper also discusses new systemic risk and regulatory challenges resulting from the current COVID-19 pandemic.
Keywords: Systemic risk; Systematic literature review; Data requirements; Macro-prudential regulation; COVID-19 pandemic (search for similar items in EconPapers)
JEL-codes: C58 C6 G01 G15 G2 G28 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:61:y:2022:i:c:s1572308921001194
DOI: 10.1016/j.jfs.2021.100960
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