《Measuring Systemic Risk》

此片论文发表在2017年Review of Financial Studies。 在此片论文中作者使用资产和信用违约互换的市场数据向读者展示了systemic expected shortfall（the amount a bank’s equity drops below its “required” level）对预测2008到2009期间的潜在的系统性风险的能力。

简介

We present an economic model of systemic risk in which undercapitalization of the financial sector as a whole is assumed to harm the real economy, leading to a systemic risk externality. Each financial institution’s contribution to systemic risk can be measured as its systemic expected shortfall (SES), that is, its propensity to be undercapitalized when the system as a whole is undercapitalized. SES increases in the institution’s leverage and its marginal expected shortfall (MES), that is, its losses in the tail of the system’s loss distribution. We demonstrate empirically the ability of components of SES to predict emerging systemic risk during the financial crisis of 2007–2009.