We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently …

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that have been …

We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non …'s systematic risk, idiosyncratic risk, size or contagiousness increases the risk of the system but lowers the measured SRC of the … potentially adverse side effects: A change in a bank's risk structure can make the measured SRC of its competitors increase more …

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable … distribution function can provide a full quantification of risk and stress propagation in the system. However, multivariate … distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems …

This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used … risk exposures. As comparison of liquidity risk projections to the available liquidity of participants in the system only …-quality liquid assets (HQLA) available at the group level to assess the overall liquidity risk that participants face in TARGET2. Our …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …