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
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