This paper proposes a novel and intuitive indicator to measure market systemic risk. Using this indicator, we examine how responsive the integration of various hedging assets to a change in the market integration of equity markets. We formulate the risk indicator based on a measure of...

Extreme events in financial markets can arise from fundamental information, but they can also arise from latent hazards embedded in the market design. This is systemic risk and somebody bears this risk. These events add to risk and their probability and severity must be accounted for by market...