A Theoretical and Empirical Comparison of Systemic Risk Measures A Theoretical and Empirical Comparison of Systemic Risk Measures

Sylvain Benoit, Gilbert Colletaz, Christophe Hurlin, Christophe Pérignon, Sylvain Benoit, Gilbert Colletaz, Christophe Hurlin, Christophe Pérignon
unpublished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
more » ... rror rankings obtained by sorting ...rms 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.
fatcat:fn34zboiurb7doe5o247fmg3rm