Measuring systemic risk: structural approaches

Kovacevic RM & Pflug G (2015). Measuring systemic risk: structural approaches. In: Quantitative Financial Risk Management: Theory and Practice. Eds. Zopounidis, C & (Eds.), G. Galariotis, pp. 1-21 Hoboken, NJ, USA: John Wiley & Sons. ISBN 9781118738184 DOI:10.1002/9781119080305.ch1.

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Abstract

The financial crisis of 2007-2008 has demonstrated that factors for financial distress of large parts of the economy depend to a large extent on the interrelations between the financial institutions. Risks threatening the financial sector can be decomposed into risks based in the individual factors for single institutions and risks which can be attributed to the financial system as a whole. This part of the risks is called systemic risk. We review several approaches for quantifying systemic risk, most of them based on structural credit modeling. In particular, we present an approach that is inspired by the fact that the joint probability distributions can be represented by their individual marginals and the copula function, which represents the interrelations.

Item Type: Book Section
Uncontrolled Keywords: copula function; marginal distributions; interrelational matrix; conditional value at risk banking stability index; copula models; conditional distress probability; loss cascade
Research Programs: Risk, Policy and Vulnerability (RPV)
Risk & Resilience (RISK)
Bibliographic Reference: In: C Zopounidis and G. Galariotis (Eds.); Quantitative Financial Risk Management: Theory and Practice; John Wiley & Sons, Inc, Hoboken, NJ, USA pp.1-21 (May 2015)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:53
Last Modified: 30 May 2017 13:23
URI: http://pure.iiasa.ac.at/11590

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