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Measuring Systemic Risk in a Post-Crisis World

Author

Listed:
  • O. de Bandt
  • J.-C. Héam
  • C. Labonne
  • S. 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 subprime 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 or regulatory/accounting data; (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.

Suggested Citation

  • O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
  • Handle: RePEc:bfr:decfin:6
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    References listed on IDEAS

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    Cited by:

    1. C. Labonne & C. Welter-Nicol, 2015. "MERCURE : Cheap Credit, Unaffordable Houses?," Débats économiques et financiers 20, Banque de France.
    2. Mathias Lé, 2013. "Deposit Insurance Adoption and Bank Risk-Taking: the Role of Leverage," PSE Working Papers halshs-00911415, HAL.
    3. B. Camara & F.-D. Castellani & H. Fraisse & L. Frey & C. Héam & L. Labonne & V. Martin, 2015. "MERCURE : A Macroprudential Stress Testing Model developed at the ACPR," Débats économiques et financiers 19, Banque de France.
    4. Alexandra Popescu & Camelia Turcu, 2014. "Systemic Sovereign Risk in Europe: an MES and CES Approach," Revue d'économie politique, Dalloz, vol. 124(6), pages 899-925.
    5. J. Hombert & V. Lyonnet, 2017. "Intergenerational Risk Sharing in Life Insurance: Evidence from France," Débats économiques et financiers 30, Banque de France.

    More about this item

    Keywords

    systemic risk; market data; balance sheet data; regulatory data; financial network; funding liquidity.;

    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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