A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN)

Fabio Cortes, Peter Lindner, Sheheryar Malik and Miguel Segoviano

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance, pension fund, hedge fund and investment fund sectors, which cannot be captured when analyzing sectors independently. The tool produces various metrics to evaluate systemic risk from complementary perspectives, including tail risk, cross-entity interconnectedness and the contribution to systemic risk by different entities and sectors. SyRIN is easily implementable with publicly available data and can be adapted to cater to different degrees of institutional granularity and data availability. The framework is designed to be a tool to identify vulnerabilities from a top-down perspective that can lead to deeper analysis in specific sectors for policy formulation.

Keywords: financial stability; systemic risk; shadow banks; mutual funds; spillovers (search for similar items in EconPapers)
JEL-codes: C02 C19 C52 C61 E32 E43 E44 G21 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2018-07-06
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:118928

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