XXVI Edition

14-15-16 December 2017"

SYSTEMIC RISK AND SYSTEMIC IMPORTANCE MEASURES DURING THE CRISIS

zaghini andrea, Banca d'Italia
masciantonio sergio, European Commission, DG FISMA

Systemic risk and systemic importance are two different concepts that came out of the crisis and are now widely employed to assess the potential impact on the banking system as a whole of shocks that hit one specific bank. However, those two measures are often improperly used and misunderstandings arise. This paper sheds light about their meaning, measurement and information content. Empirically, the two measures provide different information; it is therefore worthwhile investigating both, so to have a thorough understanding of single name and aggregate systemic risk exposure. In addition, by relying on the standard risk management perspective, we propose how to integrate systemic importance and systemic risk concepts. We provide two measures of systemic risk exposure and compare them to SRISK.

Area: Financial Stability

Keywords: G-SIFIs, Systemic risk, financial crisis, too-big-to-fail.

Paper file

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