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Systemic risk analysis and SIFI detection: Mechanisms and measurement

Author

Listed:
  • Riccetti, Luca

    (Associate Professor of Economics, University of Macerata, Italy)

Abstract

This paper introduces the relevance of systemic risk measurement in the financial system, and the related issue of identifying systemically important financial institutions (SIFIs), in an evolving regulatory framework. It goes on to perform a detailed review of systemic risk mechanisms (both in the short and medium run), highlighting the interaction between solvency and liquidity problems. The paper also discusses how systemic risk should be measured. Finally, the paper puts forward some high-level suggestions on the use of multi-layer network simulation to measure systemic risk.

Suggested Citation

  • Riccetti, Luca, 2022. "Systemic risk analysis and SIFI detection: Mechanisms and measurement," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 15(3), pages 245-259, June.
    • Handle: RePEc:aza:rmfi00:y:2022:v:15:i:3:p:245-259
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    Citations

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    Cited by:

    1. Michel Alexandre & Gilberto Tadeu Lima & Luca Riccetti & Alberto Russo, 2023. "The financial network channel of monetary policy transmission: an agent-based model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 533-571, July.

    More about this item

    Keywords

    financial systemic risk; systemically important financial institutions (SIFIs); liquidity risk; solvency risk; multi-layer network simulation;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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