Closed form solutions of measures of systemic risk
AbstractThis paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier and Acharya et al. have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific Beta-coefficients with the mean corrected Value at Risk. Hence, the measures of systemic risks are closely related to well known concepts of financial economics. Another benefit of the analysis is that it is revealed how the concepts are related to each other. Also, it may be relatively easy to convince the regulators to consider a closed form solution, especially so if the statistics involved are well known and can easily be communicated to the financial community.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1211.4173.
Date of creation: Nov 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-06 (All new papers)
- NEP-BAN-2012-12-06 (Banking)
- NEP-CBA-2012-12-06 (Central Banking)
- NEP-RMG-2012-12-06 (Risk Management)
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