In finance, systematic risk, also sometimes called market risk, aggregate risk, or undiversifiable risk, is the risk associated with aggregate market returns. Systematic risk is a risk of security that cannot be reduced through diversification. It should not be confused with systemic risk, which is the risk that the entire financial system will collapse as a result of some catastrophic event.
In the capital asset pricing model, the rate of return required for an asset in market equilibrium depends on the systematic risk associated with returns on the asset, that is, on the covariance of the returns on the asset and the aggregate returns to the market. Risk in asset returns that is uncorrelated with aggregate market returns is called 'specific risk', 'diversifiable risk', or 'idiosyncratic risk'. Given diversified holdings of assets, each individual investors exposure to idiosyncratic risk associated with any particular asset is small and uncorrelated with the rest of their portfolio. Hence, the contribution of idiosyncratic risk to the riskiness of the portfolio as a whole is negligible. It follows that only systematic risk needs to be taken into account.
Market risk is the risk that the value of an investment will decrease due to moves in market factors. The four standard market risk factors are:
Equity risk, the risk that stock prices will change.
Interest rate risk, the risk that interest rates will change.
Currency risk, the risk that foreign exchange rates will change.
Commodity risk, the risk that commodity prices (e.g. grains, metals) will change.
Systemic risk is one type of market risk. Although systemic risk is caused by failure in financial system/ financial institution, it affects businesses in general (look at what happened to businesses during GFC). Since risk in general can be divided into systematic risk and unsystematic risk, can we say that systemic risk is also one type of systematic risk?
偶然搜到这个老帖，挖一下坟。来一段国外的，因为国内的基本不区别这俩词，更没人在这抠，并且在08版GFC之前甚至没什么关于systemic risk的东西。如果能看懂，那就应该能理解了。
Systemic risk is generally used in reference to an event that can trigger a collapse in a certain industry or economy, whereas systematic risk refers to overall market risk. Systemic risk does not have an exact definition, many have used systemic risk to describe narrow problems, such as problems in the payments system, while others have used it to describe an economic crisis that was triggered by failures in the financial system. Generally, systemic risk can be described as a risk caused by an event at the firm level that is severe enough to cause instability in the financial system.
On the other hand, systematic risk does have a more recognized and universal definition. Sometimes plainly called market risk, systematic risk is the risk inherent in the aggregate market that cannot be solved by diversification. Some common sources of market risk are recessions, wars, interest rates and others that cannot be avoided through a diversified portfolio. Though systematic risk cannot be fixed with diversification, it can be hedged. Also, the risk that is specific to a firm or industry and can be solved by diversification is called unsystematic or idiosyncratic risk.
As an example of systemic risk, the collapse of Lehman Brothers in 2008 caused major reverberations throughout the financial system and the economy. Lehman Brother's size and integration in the economy caused its collapse to result in a domino effect that caused a major risk to the financial system in the U.S.
摘抄一段Global Financial System Stability and Risk中的简短解释：
Systematic risk relates to non-diversifiable risk factors that affect everybody and is always present, perhaps the stock market, whilst systemic risk pertains to the danger of the entire financial system collapsing
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