Smart Systemic-Risk Scores

Sylvain Benoît
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Sylvain Benoît: LEDa - Laboratoire d'Economie de Dauphine - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres

Working Papers from HAL

Abstract: I propose a new systemic-risk score to identify and regulate systemically important financial institutions (SIFIs) by using an alternative weighting scheme based on volatility to aggregate all systemic-risk facets. Following a portfolio management approach, I equalize the risk contribution of each systemic-risk component to the cross-sectional volatility of my smart systemic-risk scores. To discriminate between several systemic-risk scores, I apply an axiomatic framework to express supervisor preferences among systemic-risk scores. Such preferences are based on the expected value of the cross-sectional dispersion of systemic-risk scores over the years.

Keywords: Systemic Risk; Risk Management; Macroprudential Regulation; Systemically Important Financial Institutions; Banking (search for similar items in EconPapers)
Date: 2019-09-19
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-02292311

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