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Systemic risk components and deposit insurance premia

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  • Jeremy Staum

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.

Suggested Citation

  • Jeremy Staum, 2012. "Systemic risk components and deposit insurance premia," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 651-662, January.
  • Handle: RePEc:taf:quantf:v:12:y:2012:i:4:p:651-662
    DOI: 10.1080/14697688.2012.664942
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    References listed on IDEAS

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    1. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2011. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Central Banking, Analysis, and Economic Policies Book Series,in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 12, pages 371-410 Central Bank of Chile.
    2. repec:fip:fedhpr:y:2010:i:may:p:65-71 is not listed on IDEAS
    3. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017. "Measuring Systemic Risk," Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
    4. Celine Gauthier & Alfred Lehar & Moez Souissi, 2010. "Macroprudential Regulation and Systemic Capital Requirements," Staff Working Papers 10-4, Bank of Canada.
    5. Viral V. Acharya, 2010. "Measuring systemic risk," Proceedings 1140, Federal Reserve Bank of Chicago.
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    Cited by:

    1. 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).
    2. Jose Fique, 2016. "A Microfounded Design of Interconnectedness-Based Macroprudential Policy," Staff Working Papers 16-6, Bank of Canada.
    3. Jose Fique, 2015. "A Microfounded Design of Interconnectedness-Based Macroprudential Regulation," Caepr Working Papers 2015-008 Classification-D, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    4. Mainik Georg & Schaanning Eric, 2014. "On dependence consistency of CoVaRand some other systemic risk measures," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 1-29, March.
    5. Drehmann, Mathias & Tarashev, Nikola, 2013. "Measuring the systemic importance of interconnected banks," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 586-607.

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