Systemic Risk and Systemic Importance Measures During the Crisis

44 Pages Posted: 8 Dec 2017

See all articles by Sergio Masciantonio

Sergio Masciantonio

European Union - European Commission

Andrea Zaghini

Bank of Italy

Date Written: December 5, 2017

Abstract

Systemic risk and systemic importance are two different concepts that came out of the crisis and are now widely employed to assess the potential impact on the banking system as a whole of shocks that hit one specific bank. However, those two measures are often improperly used and misunderstandings arise. This paper sheds light about their meaning, measurement and information content. Empirically, the two measures provide different information; it is therefore worthwhile investigating both, so to have a thorough understanding of single name and aggregate systemic risk exposure. In addition, by relying on the standard risk management perspective, we propose how to integrate systemic importance and systemic risk concepts. We provide two new measures of systemic risk exposure and compare them with the standard one (SRISK).

Keywords: G-SIFIs, Systemic risk, too-big-to-fail, financial crisis

JEL Classification: G21, G01, G18

Suggested Citation

Masciantonio, Sergio and Zaghini, Andrea, Systemic Risk and Systemic Importance Measures During the Crisis (December 5, 2017). Bank of Italy Temi di Discussione (Working Paper) No. 1153, Available at SSRN: https://ssrn.com/abstract=3084009

Sergio Masciantonio

European Union - European Commission ( email )

Rue de la Loi 200
Brussels, B-1049
Belgium

Andrea Zaghini (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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