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Systemic risk components and deposit insurance premia

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  • Jeremy Staum
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    Abstract

    In light of recent events, there have been proposals to establish a theory of financial system risk management analogous to portfolio risk management. One important aspect of portfolio risk management is risk attribution, the process of decomposing a risk measure into components that are attributed to individual assets or activities. The theory of portfolio risk attribution has limited applicability to systemic risk because systems can have richer structure than portfolios. This article contributes to the theory of systemic risk attribution and illuminates the design process for systemic risk attribution by developing some schemes for attributing systemic risk in an application to deposit insurance.

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    File URL: http://hdl.handle.net/10.1080/14697688.2012.664942
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

    Volume (Year): 12 (2012)
    Issue (Month): 4 (January)
    Pages: 651-662

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    Handle: RePEc:taf:quantf:v:12:y:2012:i:4:p:651-662

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    Web page: http://www.tandfonline.com/RQUF20

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    Cited by:
    1. Drehmann, Mathias & Tarashev, Nikola, 2013. "Measuring the systemic importance of interconnected banks," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 586-607.
    2. Pilar Gómez-Fernández-Aguado & Antonio Partal-Ureña & Antonio Trujillo-Ponce, 2013. "Evaluating the effects of the EU directive proposal for risk-based deposit insurance premiums in Spain," Working Papers 13.01, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).

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