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- W4239200812 abstract "We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced. An institution’s contribution, denoted systemic expected shortfall (SES), is its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence. Institutions internalize their externality if they are “taxed” based on their SES. Through several examples, we demonstrate empirically the ability of components of SES to predict emerging systemic risk during the nancial crisis of 2007-2009." @default.
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- W4239200812 date "2010-03-18" @default.
- W4239200812 modified "2023-10-18" @default.
- W4239200812 title "Measuring Systemic Risk" @default.
- W4239200812 doi "https://doi.org/10.26509/frbc-wp-201002" @default.
- W4239200812 hasPublicationYear "2010" @default.
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