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La mesure du risque systémique après la crise financière

Author

Listed:
  • Olivier de Bandt
  • Jean-Cyprien Héam
  • Claire Labonne
  • Santiago Tavolaro

Abstract

In response to the very large number of quantitative indicators that have been put forward to measure the level of systemic risk since the start of the 2008 financial crisis, the paper surveys the different indicators available in the economic and financial literature. It distinguishes between (i) indicators related to institutions, based either on market data, accounting statements or supervisory information ; (ii) indicators addressing risks in financial markets and infrastructures ; (iii) indicators measuring interconnections and network effects, where research is currently very active ; and (iv) comprehensive indicators. All these indicators are critically assessed and ways forward for a better understanding of systemic risk are suggested. Classification JEL : G2, G3, E44

Suggested Citation

  • Olivier de Bandt & Jean-Cyprien Héam & Claire Labonne & Santiago Tavolaro, 2015. "La mesure du risque systémique après la crise financière," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 481-500.
  • Handle: RePEc:cai:recosp:reco_663_0481
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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