Estimation of Systemic Risk

10 Pages Posted: 17 May 2013

Date Written: May 15, 2013

Abstract

The recent global financial crisis has underscored the significance of managing systemic risk, which otherwise disrupts the financial system and has a substantial disastrous impact on the real economy. The interconnectedness of financial institutions is believed to be a critical source of systemic risk. Regulators and supervisors of financial sectors of late have realized that any systemic event carries contagion effects, and conventional supervisory approaches at the level of an individual bank are insufficient. Triggered by the global financial crisis and the role of financial markets in causing such crisis, significant interest subsists among researchers within both the academic community and the policy makers in modeling and measuring systemic risk. In this article, an attempt is made to present a conceptual comparative analysis of different approaches to estimation of systemic risk based on different perspectives in countering the challenges of quantifying it.

Keywords: financial stability, macro prudential analysis, macro stress testing, systemic risk

JEL Classification: E44, E58, G10

Suggested Citation

P.M., Vighneswara Swamy, Estimation of Systemic Risk (May 15, 2013). Available at SSRN: https://ssrn.com/abstract=2265417 or http://dx.doi.org/10.2139/ssrn.2265417

Vighneswara Swamy P.M. (Contact Author)

IBS-Hyderabad ( email )

62, Nagarjuna Hill
Panjagutta
Hyderabad, TX AP 501504
India

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