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Systemic risk and systemic importance measures during the crisis

Sergio Masciantonio () and Andrea Zaghini ()

No 1153, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: Systemic risk and systemic importance are two different concepts that came out of the crisis and are now widely employed to assess the potential impact on the banking system as a whole of shocks that hit one specific bank. However, those two measures are often improperly used and misunderstandings arise. This paper sheds light about their meaning, measurement and information content. Empirically, the two measures provide different information; it is therefore worthwhile investigating both, so to have a thorough understanding of single name and aggregate systemic risk exposure. In addition, by relying on the standard risk management perspective, we propose how to integrate systemic importance and systemic risk concepts. We provide two new measures of systemic risk exposure and compare them with the standard one (SRISK).

Keywords: G-SIFIs; Systemic risk; too-big-to-fail; financial crisis (search for similar items in EconPapers)
JEL-codes: G21 G01 G18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba and nep-rmg
Date: 2017-12
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1153_17

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