A Survey of Systemic Risk Indicators
80 Pages Posted: 14 Jun 2019 Last revised: 21 Jun 2019
Date Written: October 1, 2018
The aim of this survey is to provide a rigorous, but not so technical, introduction to several systemic risk indicators frequently used in official publications by institutions involved in macroprudential analysis and policy. The selected indicators are classified using three taxonomies. The first one adopts the point of view of regulators and policy-makers, whose attention is usually focused on the implementability and forward-looking nature of the indicators. The second taxonomy highlights the features that are most relevant for researchers, i.e. the reliance on a sound theoretical background and the use of advanced analytical techniques. The third taxonomy classifies the indicators according to the specific aspects of systemic risks that are captured. For each indicator both general and technical descriptions are provided, as well as specific examples.
Keywords: systemic risk, financial stability, systemic risk indicators
JEL Classification: G21, G28, G14, C13
Suggested Citation: Suggested Citation