IDEAS home Printed from https://ideas.repec.org/h/spr/prbchp/978-3-030-15581-0_2.html
   My bibliography  Save this book chapter

Towards a Generalized Measure of Systemic Risk: Systemic Turbulence Measure

In: Contemporary Trends and Challenges in Finance

Author

Listed:
  • Marta Karaś

    (Wrocław University of Economics)

  • Witold Szczepaniak

    (Wrocław University of Economics)

Abstract

Systemic risk, a concept closely related to financial system stability, has three major areas of concern: systemic liquidity, systemic fragility and risk spill-over (contagion). In the recent years there were many measures of systemic risk proposed in the literature, however, as can be shown after literature investigation and proven from their theoretical properties, none of these measures truly reflects all three mentioned characteristics of systemic risk. The paper provides a comparative analysis of these characteristics based on empirical data for Poland spanning from the year 2006 to 2016, encompassing the global financial crisis and the European sovereign debt crisis, and proposes a method of combining them into one aggregated measurement, using the concept of Mahalanobis distance, following the concept of financial turbulence measure proposed by Kritzman and Li (Financ Anal J 66:30–41, 2010). The aggregation procedure leads to postulation of a new systemic risk measurement method, called by the authors Systemic Turbulence Measure (STM).

Suggested Citation

  • Marta Karaś & Witold Szczepaniak, 2019. "Towards a Generalized Measure of Systemic Risk: Systemic Turbulence Measure," Springer Proceedings in Business and Economics, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orłowski & Karsten Staehr (ed.), Contemporary Trends and Challenges in Finance, pages 11-23, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-15581-0_2
    DOI: 10.1007/978-3-030-15581-0_2
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chatterjee, Somnath & Jobst, Andreas, 2019. "Market-implied systemic risk and shadow capital adequacy," Bank of England working papers 823, Bank of England.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:prbchp:978-3-030-15581-0_2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.