This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier (2010) and Acharya et al. (2009) have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific...

The recent global financial crisis has taught us one tough and important lesson that, there is a pressing need for containing the systemic risk in the financial system. However, prior to containing this risk and form the regulations we need to measure this risk properly. This research has...

The failure of individual firms in the banking industry poses a unique threat to the entire economy. Emerging wisdom on systemic risk has identified two shortcomings in traditional regulatory approaches, all of which failed to anticipate the financial crisis of 2008-09. First, static measures of...