A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN)

Cortes, Fabio, Lindner, Peter, Malik, Sheheryar and Segoviano, Miguel (2018) A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN). Systemic Risk Centre Discussion Papers (80). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

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Abstract

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance, pension fund, hedge fund and investment fund sectors, which cannot be captured when analyzing sectors independently. The tool produces various metrics to evaluate systemic risk from complementary perspectives, including tail risk, cross-entity interconnectedness and the contribution to systemic risk by different entities and sectors. SyRIN is easily implementable with publicly available data and can be adapted to cater to different degrees of institutional granularity and data availability. The framework is designed to be a tool to identify vulnerabilities from a top-down perspective that can lead to deeper analysis in specific sectors for policy formulation.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.systemicrisk.ac.uk/
Additional Information:	© 2018 The Authors
Divisions:	Systemic Risk Centre
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
JEL classification:	C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C19 - Other C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation and Selection C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C61 - Optimization Techniques; Programming Models; Dynamic Analysis E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Determination of Interest Rates; Term Structure of Interest Rates E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Date Deposited:	31 May 2023 13:03
Last Modified:	14 Sep 2024 04:27
URI:	http://eprints.lse.ac.uk/id/eprint/118928

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