An Equilibrium-Based Measure of Systemic Risk

Katerina Ivanov, James Schulte, Weidong Tian and Kevin Tseng
Additional contact information
Katerina Ivanov: McColl School of Business, Queens University of Charlotte, Charlotte, NC 28274, USA
James Schulte: Department of Economics, Florida State University, Tallahassee, FL 32306, USA
Weidong Tian: Belk College of Business, University of North Carolina at Charlotte, Charlotte, NC 28223, USA
Kevin Tseng: College of Management, National Taiwan University, Taipei 10617, Taiwan

JRFM, 2021, vol. 14, issue 9, 1-24

Abstract: This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank’s loss portfolio with a recent accounting approach, we perform a comprehensive empirical study of this loss beta measure and document all TBTF banks from 2002 to 2019. Our empirical findings suggest a significant number of too-big-to-fail banks in 2018–2019.

Keywords: systemic risk; too big to fail; capital insurance; loss beta (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1911-8074/14/9/414/pdf (application/pdf)
https://www.mdpi.com/1911-8074/14/9/414/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:14:y:2021:i:9:p:414-:d:627481

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().