A Theoretical and Empirical Comparison of Systemic Risk Measures

@inproceedings{Benoit2012ATA,
title={A Theoretical and Empirical Comparison of Systemic Risk Measures},
author={Sylvain Benoit},
year={2012}
}

Sylvain Benoit

Published 2012

We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the di¤erent measures lead to similar rankings of systemically important nancial institutions (SIFIs). In an empirical analysis of US nancial institutions, we show that (1) di¤erent systemic risk measures identify di¤erent SIFIs and that (2) rm rankings based on systemic risk estimates mirror… CONTINUE READING