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 investigate the information content of stock correlation based network measures for systemic risk rankings, such as … complement currently available systemic risk ranking methods based on book or market values. A further analytical investigation …

In a banking network model, the ranking consistency of various popular systemic risk measures (SRMs) is analyzed. In …

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 …

a financial system. With a static model on financial institutions' risk-taking behavior, we quantify the impact on … systemic risk in the cross-sectional dimension when imposing a capital requirement. Although imposing a capital requirement can … lower individual risk, it enhances the systemic linkage within the system at the same time. With a proper systemic risk …

markets exhibit greater systemic risk, contagion, and distress volatility and are more prone to crises. The model suggests a … counterparties, average risk aversion, standard deviation of total exposure, and market structure …

This paper explores the relationship between regulatory complexity and systemic risk. Building upon the distinction … between measurable risk and uncertainty, it outlines the fundamentals of the main regulatory frameworks of the last two … risk), less complex rules could be given greater consideration. Rebalancing regulation towards simplicity may produce …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …