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Measuring Systemic Risk in a Post-Crisis World

Olivier de Bandt, J.-C. Héam, C. Labonne and S. Tavolaro

Débats économiques et financiers from Banque de France

Abstract: In response to the very large number of quantitative indicators that have been put forward to measure the level of systemic risk since the start of the subprime crisis, the paper surveys the different indicators available in the economic and financial literature. It distinguishes between (i) indicators related to institutions, based either on market data or regulatory/accounting data; (ii) indicators addressing risks in financial markets and infrastructures; (iii) indicators measuring interconnections and network effects - where research is currently very active-; and (iv) comprehensive indicators. All these indicators are critically assessed and ways forward for a better understanding of systemic risk are suggested.

Keywords: systemic risk; market data; balance sheet data; regulatory data; financial network; funding liquidity. (search for similar items in EconPapers)
JEL-codes: E44 G2 G3 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2013
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fmk, nep-mac and nep-rmg
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Citations: View citations in EconPapers (12) Track citations by RSS feed

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Persistent link: https://EconPapers.repec.org/RePEc:bfr:decfin:6

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