英文标题：
《Measures of Systemic Risk》
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作者：
Zachary Feinstein, Birgit Rudloff, Stefan Weber
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最新提交年份：
2016
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英文摘要：
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions. The current paper proposes a novel approach to measuring systemic risk. Key to our construction is a rigorous derivation of systemic risk measures from the structure of the underlying system and the objectives of a financial regulator. The suggested systemic risk measures express systemic risk in terms of capital endowments of the financial firms. Their definition requires two ingredients: a cash flow or value model that assigns to the capital allocations of the entities in the system a relevant stochastic outcome; and an acceptability criterion, i.e. a set of random outcomes that are acceptable to a regulatory authority. Systemic risk is measured by the set of allocations of additional capital that lead to acceptable outcomes. We explain the conceptual framework and the definition of systemic risk measures, provide an algorithm for their computation, and illustrate their application in numerical case studies. Many systemic risk measures in the literature can be viewed as the minimal amount of capital that is needed to make the system acceptable after aggregating individual risks, hence quantify the costs of a bail-out. In contrast, our approach emphasizes operational systemic risk measures that include both ex post bailout costs as well as ex ante capital requirements and may be used to prevent systemic crises.
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中文摘要：
系统性风险是指由于系统本身的特点，金融系统容易发生故障的风险。系统性风险的巨大成本要求设计和实施有效的金融机构宏观审慎监管工具。本文提出了一种测量系统性风险的新方法。我们构建的关键是从基础系统的结构和金融监管机构的目标中严格推导出系统性风险度量。建议的系统性风险衡量指标以金融公司的资本禀赋来表示系统性风险。它们的定义需要两个要素：一个现金流或价值模型，为系统中实体的资本分配分配分配一个相关的随机结果；以及可接受性标准，即监管机构可接受的一组随机结果。系统性风险是通过一系列额外资本的分配来衡量的，这些额外资本会带来可接受的结果。我们解释了系统性风险度量的概念框架和定义，提供了它们的计算算法，并举例说明了它们在数值案例研究中的应用。文献中的许多系统性风险度量可以被视为将单个风险汇总后使系统可接受所需的最小资本量，从而量化纾困成本。相比之下，我们的方法强调操作系统性风险措施，包括事后救助成本和事前资本要求，并可用于预防系统性危机。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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