58 Pages Posted: 15 Mar 2015 Last revised: 9 Feb 2016
Date Written: November 17, 2015
We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take stock of the achievements of this rapidly growing field, we identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory tools. The second approach uses market data to produce global measures which are not directly connected to any particular theory, but could support a more efficient regulation. Bridging this gap will require encompassing theoretical models and improved data disclosure.
Keywords: Banking, Macroprudential Regulation, Systemically Important Financial In- stitutions, Financial Crises, Too-Big-To-Fail
JEL Classification: G01, G32
Suggested Citation: Suggested Citation
Benoit, Sylvain and Colliard, Jean-Edouard and Hurlin, Christophe and Perignon, Christophe, Where the Risks Lie: A Survey on Systemic Risk (November 17, 2015). HEC Paris Research Paper No. FIN-2015-1088 . Available at SSRN: https://ssrn.com/abstract=2577961 or http://dx.doi.org/10.2139/ssrn.2577961