Systemic Risk Components and Deposit Insurance Premia

FDIC Working Paper No. 2011-03

37 Pages Posted: 9 Jan 2012

See all articles by Ming Liu

Ming Liu

Magnetar Capital

Jeremy C. Staum

Northwestern University - Department of Industrial Engineering and Management Sciences

Multiple version iconThere are 2 versions of this paper

Date Written: December 10, 2010

Abstract

In light of recent events, there have been proposals to establish a theory of financial system risk management analogous to portfolio risk management. One important aspect of portfolio risk management is risk attribution, the process of decomposing a risk measure into components that are attributed to individual assets or activities. The theory of portfolio risk attribution has limited applicability to systemic risk because systems can have richer structure than portfolios. We take a first step towards a theory of systemic risk attribution and illuminate the design process for systemic risk attribution by developing some schemes for attributing systemic risk in an application to deposit insurance.

Suggested Citation

Liu, Ming and Staum, Jeremy C., Systemic Risk Components and Deposit Insurance Premia (December 10, 2010). FDIC Working Paper No. 2011-03. Available at SSRN: https://ssrn.com/abstract=1982131 or http://dx.doi.org/10.2139/ssrn.1982131

Ming Liu (Contact Author)

Magnetar Capital ( email )

1603 Orrington Ave
Evanston, IL 60201
United States

Jeremy C. Staum

Northwestern University - Department of Industrial Engineering and Management Sciences ( email )

Evanston, IL 60208-3119
United States

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