Consistent measures of systemic risk

Segoviano, Miguel and Espinoza, Raphael (2017) Consistent measures of systemic risk. Systemic Risk Centre Discussion Papers (74). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

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Abstract

This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and applies it to quantify systemic risk. These densities, which are inferred from partial information but are consistent with the observed probabilities of distress of financial institutions, outperform parametric distributions typically employed in risk measurement. The multivariate density approach allows us to propose complementary and statistically consistent metrics of systemic risk, which we estimate using market-based data to analyze the evolution of systemic risk in Europe and the U.S., throughout the financial crisis.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.systemicrisk.ac.uk/
Additional Information:	© 2017 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 > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
Date Deposited:	08 Jun 2023 08:33
Last Modified:	11 Dec 2024 19:45
URI:	http://eprints.lse.ac.uk/id/eprint/118947

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