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21 décembre 2011
- handle: 10670/1.w55rrg
- hal: hal-02058255
- doi: 10.2139/ssrn.1973950
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info:eu-repo/semantics/altIdentifier/doi/10.2139/ssrn.1973950
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Mots-clés
Banking Regulation Systemically Important Financial Firms Marginal Expected Shortfall SRISK CoVaR Systemic vs. Systematic Risk G - Financial Economics/G.G0 - General/G.G0.G01 - Financial Crises G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • GoodwillSujets proches
MeasuresCiter ce document
Sylvain Benoît et al., « A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR », HAL-SHS : droit et gestion, ID : 10.2139/ssrn.1973950
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Résumé
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 different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.