| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8824 |
| DP8824 Measuring Systemic Risk | |
| Thomas Philippon; Viral Acharya; Lasse Heje Pedersen | |
| 发表日期 | 2012-02-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We present a simple model of systemic risk and we show that each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), i.e., its propensity to be undercapitalized when the system as a whole is undercapitalized. SES increases with the institution's leverage and with its expected loss in the tail of the system's loss distribution. Institutions internalize their externality if they are ?taxed? based on their SES. We demonstrate empirically the ability of SES to predict emerging risks during the financial crisis of 2007-2009, in particular, (i) the outcome of stress tests performed by regulators; (ii) the decline in equity valuations of large financial firms in the crisis; and, (iii) the widening of their credit default swap spreads. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Systemic risk Bailout Financial regulation Value at risk |
| URL | https://cepr.org/publications/dp8824 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537660 |
| 推荐引用方式 GB/T 7714 | Thomas Philippon,Viral Acharya,Lasse Heje Pedersen. DP8824 Measuring Systemic Risk. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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