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Where the Risks Lie: A Survey on Systemic Risk

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  • Colliard , Jean-Edouard
  • Perignon , Christophe

Abstract

The authors review the extensive literature on systemic risk and connect it to the current regulatory debate. While they take stock of the achievements of this rapidly growing field, they identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory tools. The second approach uses market data to produce global measures which are not directly connected to any particular theory, but could support a more efficient regulation. Bridging this gap will require encompassing theoretical models and improved data disclosure.

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  • Colliard , Jean-Edouard & Perignon , Christophe, 2015. "Where the Risks Lie: A Survey on Systemic Risk," HEC Research Papers Series 1088, HEC Paris.
    • Handle: RePEc:ebg:heccah:1088
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    More about this item

    Keywords

    Banking; Macroprudential Regulation; Systemically Important Financial In- stitutions; Financial Crises; Too-Big-To-Fail;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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