Systemic Risk 10 Years Later

IF 5 3区 经济学 Q1 BUSINESS, FINANCE Annual Review of Financial Economics Pub Date : 2018-11-01 DOI:10.1146/ANNUREV-FINANCIAL-110217-023056
R. Engle
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引用次数: 33

Abstract

Ten years ago, the financial crisis spurred research focused on systemic risk. This article examines the history and application of the SRISK measure, which was developed at that time and is now widely used in monitoring systemic risk around the globe. The concept is explained and a variety of ways to measure SRISK are developed. In this article, new results are presented on the uncertainty associated with the SRISK measure and on how it compares with other related measures from both academics and regulators. By focusing on the mechanism by which undercapitalization of the financial sector initiates a financial crisis, new research examines how the probability of a financial crisis is affected by the level of SRISK and, consequently, how much SRISK a country can stand without having a high probability of crisis. The model used to evaluate this probability recognizes the externalities between financial institutions that make an undercapitalized firm or country more fragile if other firms and countries are also undercapitalized.
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10年后的系统性风险
十年前,金融危机刺激了对系统性风险的研究。本文考察了SRISK度量的历史和应用,该度量是在当时开发的,现在广泛用于全球范围内的系统性风险监测。解释了这个概念,并开发了多种测量SRISK的方法。在本文中,提出了与SRISK度量相关的不确定性的新结果,并将其与学术界和监管机构的其他相关度量进行了比较。通过关注金融部门资本不足引发金融危机的机制,新的研究考察了金融危机的可能性如何受到SRISK水平的影响,从而考察了一个国家在不发生高概率危机的情况下能够承受多大的SRISK。用于评估这种可能性的模型认识到金融机构之间的外部性,如果其他公司和国家也资本不足,这些外部性会使资本不足的公司或国家更加脆弱。
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CiteScore
5.00
自引率
0.00%
发文量
26
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