Smart Systemic-Risk Scores

49 Pages Posted: 6 Nov 2018 Last revised: 17 Dec 2018

See all articles by Sylvain Benoit

Sylvain Benoit

Université Paris Dauphine - LEDa-SDFi

Date Written: November 23, 2018

Abstract

I propose a new systemic-risk score to identify and regulate systemically important financial institutions (SIFIs) by using an alternative weighting scheme based on volatility to aggregate all systemic-risk facets. Following a portfolio management approach, I equalize the risk contribution of each systemic-risk component to the cross-sectional volatility of my smart systemic-risk scores. To discriminate between several systemic-risk scores, I apply an axiomatic framework to express supervisor preferences among systemic-risk scores. Such preferences are based on the expected value of the cross-sectional dispersion of systemic-risk scores over the years.

Keywords: Systemic Risk, Risk Management, Macroprudential Regulation, Systemically Important Financial Institutions, Banking

JEL Classification: G01, G28, G32

Suggested Citation

Benoit, Sylvain, Smart Systemic-Risk Scores (November 23, 2018). Available at SSRN: https://ssrn.com/abstract=3279614 or http://dx.doi.org/10.2139/ssrn.3279614

Sylvain Benoit (Contact Author)

Université Paris Dauphine - LEDa-SDFi ( email )

Place du Maréchal de Lattre de Tassigny
Paris, Cedex 16 75775
France

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