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A Theoretical and Empirical Comparison of Systemic Risk Measures A Theoretical and Empirical Comparison of Systemic Risk Measures
unpublished
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
fatcat:fn34zboiurb7doe5o247fmg3rm