Main systemic risk measures

Yvonne Kreis, Dietmar Leisen and Jorge Ponce

Chapter 6 in Systemic Risk:History, Measurement and Regulation, 2019, pp 69-82 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Classical measures to assess market risk are Value-at-Risk (VaR) and Expected Shortfall (ES). In addition, factor models have been very popular to assess the credit risk of banks; see Crosbie and Bohn (2002) and Saunders and Cornett (2009)…

Keywords: Systemic Risk; Financial Stability; Financial Regulation; Macro-Prudential Regulation; Transmission Channels; Global Financial Crisis; Risk Measurement; Cross-sectional Risk (search for similar items in EconPapers)
JEL-codes: G01 G15 G32 (search for similar items in EconPapers)
Date: 2019
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