A Survey of Systemic Risk Indicators

80 Pages Posted: 14 Jun 2019 Last revised: 21 Jun 2019

See all articles by Antonio Di Cesare

Antonio Di Cesare

Bank of Italy

Anna Rogantini Picco

Sveriges Riksbank - Research Division

Multiple version iconThere are 2 versions of this paper

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

Di Cesare, Antonio and Rogantini Picco, Anna, A Survey of Systemic Risk Indicators (October 1, 2018). Bank of Italy Occasional Paper No. 458, Available at SSRN: https://ssrn.com/abstract=3398812 or http://dx.doi.org/10.2139/ssrn.3398812

Antonio Di Cesare (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
00184 Roma
+39 06-4792-23943 (Phone)

Anna Rogantini Picco

Sveriges Riksbank - Research Division ( email )

S-103 37 Stockholm

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