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Du risque des mesures de risque systémique

Author

Listed:
  • Christophe Boucher

    (EM - EMLyon Business School)

  • Patrick Kouontchou
  • Bertrand Maillet

Abstract

La mesure du risque systémique des institutions financières est devenue un enjeu essentiel pour la stabilité du système financier. La plupart des mesures actuellement proposées reposent sur l'estimation de quantiles conditionnels, qui ont la caractéristique d'être extrêmement sensibles à la méthode d'estimation et à la spécification des modèles de risque utilisés. Nous proposons de corriger les mesures de risque systémique à partir de procédures de validation statistique. Notre application sur la covar suggère que le risque de modèle est important et que les institutions identifiées comme « systémiques » diffèrent selon que l'on prenne en compte ou non le risque de modèle.

Suggested Citation

  • Christophe Boucher & Patrick Kouontchou & Bertrand Maillet, 2016. "Du risque des mesures de risque systémique," Post-Print hal-02312096, HAL.
    • Handle: RePEc:hal:journl:hal-02312096
    as

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