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Sylvain Benoit, Gilbert Colletaz, Christophe Hurlin, Christophe Pérignony
First draft: December 1, 2011
This version: February 14, 2013
Abstract
We propose a theoretical and empirical comparison of the most popular systemic risk
measures. To do so, we derive the systemic risk measures in a common framework and
show that they can be expressed as linear transformations of …rms’market risk (e.g.,
beta). We also derive conditions under which the di¤erent measures lead similar rank-
ings of systemically important …nancial institutions (SIFIs). In an empirical analysis of
US …nancial institutions, we show that (1) di¤erent systemic risk measures identify dif-
ferent SIFIs and that (2) …rm rankings based on systemic risk estimates mirror rankings
obtained by sorting …rms on market risk or liabilities. One-factor linear models explain
most of the variability of the systemic risk estimates, which indicates that standard
systemic risk measures fall short in capturing the multiple facets of systemic risk.











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