Benoit, Sylvain; Colletaz, Gilbert; Hurlin, Christophe; … - 2013
We derive several popular systemic risk measures in a common framework and show that they can be expressed as … transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar … show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk …