A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market

The recent financial crisis has prompted academia, country authorities, and international bodies to study quantitative tools to monitor the financial system, especially systemic risk measures. This paper aims to outline these measures and apply them to Japanfs financial system. The paper demonstrates that they are effective tools for monitoring the robustness of financial system on a real-time basis, although there are some caveats.

MoreLess

Year of publication:	2014-04
Authors:	Hattori, Akio ; Kikuchi, Kentaro ; Niwa, Fuminori ; Uchida, Yoshihiko
Institutions:	Institute for Monetary and Economic Studies, Bank of Japan
Subject:	Systemic risk \| Risk measure \| Early warning indicators \| Stress test \| Scenario analysis \| Macro-prudence \| Financial crisis

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	IMES Discussion Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 14-E-03
Classification:	C51 - Model Construction and Estimation ; G01 - Financial Crises ; G19 - General Financial Markets. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010819392