A Survey of Systemic Risk Indicators

Antonio Di Cesare () and Anna Rogantini Picco ()

No 458, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: The aim of this survey is to provide a rigorous, but not so technical, introduction to several systemic risk indicators frequently used in official publications by institutions involved in macroprudential analysis and policy. The selected indicators are classified using three taxonomies. The first one adopts the point of view of regulators and policy-makers, whose attention is usually focused on the implementability and forward-looking nature of the indicators. The second taxonomy highlights the features that are most relevant for researchers, i.e. the reliance on a sound theoretical background and the use of advanced analytical techniques. The third taxonomy classifies the indicators according to the specific aspects of systemic risks that are captured. For each indicator both general and technical descriptions are provided, as well as specific examples.

Keywords: systemic risk; financial stability; systemic risk indicators (search for similar items in EconPapers)
JEL-codes: C13 G14 G21 G28 (search for similar items in EconPapers)
Date: 2018-10
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_458_18

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