Brunnermeier, Markus Konrad; Cheridito, Patrick - In: Risks : open access journal 7 (2019) 2/46, pp. 1-19
In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of … total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our … allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal …
