Measuring Systemic Risk
成果类型：
Article
署名作者：
Acharya, Viral V.; Pedersen, Lasse H.; Philippon, Thomas; Richardson, Matthew
署名单位：
New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; New York University; Centre for Economic Policy Research - UK; New York University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/hhw088
发表日期：
2017
页码：
2
关键词：
EXPECTED SHORTFALL
Financial crisis
banking crises
liquidity
insurance
US
management
runs
摘要：
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.
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