Where the Risks Lie: A Survey on Systemic Risk*

Abstract

We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take stock of the achievements of this rapidly growing field, we identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory tools. The second approach uses market data to produce global measures which are not directly connected to any particular theory, but could support a more efficient regulation. Bridging this gap will require encompassing theoretical models and improved data disclosure.

Independent Directors, Business Risk, and the Informativeness of Accounting Earnings for Debt Contracting

“…We recognize that the measurement of risk is a challenging endeavour, which is often difficult to perfect due to its multi-faceted nature. The wide scope of the Benoit, Colliard, Hurlin, and Pérignon (2017) survey suggests that, as of yet, there is no agreement on measurement of risk. As a result, our findings may be limited to the risk measures we have adopted in this study.…”

Systemic risk and bank business models

“…In a broader context, the T i closely relates to several other measures that, based on the categorization of Benoit et al (2017), follow a global approach to measuring systemic risk, such as MES, SRISK and Exposure CoVaR.…”

“…Research on systemic risk has intensified over the past decade. Benoit et al (2017) provided a careful review of the recent systemic risk literature in a broader context. They distinguished two approaches to measuring systemic risk in the literature: a "source-specific approach" and a "global approach."…”

“…Papers that follow the global approach aim to derive global measures of systemic risk, potentially encompassing all the mechanisms studied in the first group of papers. Benoit et al (2017) categorize commonly applied measures such as marginal expected shortfall (MES) (Acharya et al, 2009(Acharya et al, , 2017, SRISK (Acharya et al, 2017), and CoVaR (Adrian & Brunnermeier, 2016) into this second group. The systemic risk measure used in the present paper best fits within this second category.…”

Using Weighted Shapley Values to Measure the Systemic Risk of Interconnected Banks

“…There is extensive literature on systemic risk and financial contagion. Benoit et al (2015) provide a comprehensive analysis of systemic risk, where the literature is elaborately classified by sources of systemic risk. De Bandt et al (2012) and Chinazzi and Fagiolo (2015) also give an overview of theoretical models and quantitative empirical assessments of systemic risk.…”