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Measuring Systemic Risk

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Acharya, Viral V., Pedersen, Lasse H., Philippon, Thomas, Richardson, Matthew·2017·Review of Financial Studies
DOI 10.1093/rfs/hhw088
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Abstract

We present an economic model of systemic risk in which undercapitalization of the financial sector as a whole is assumed to harm the real economy, leading to a systemic risk externality.Each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES ), that is, its propensity to be undercapitalized when the system as a whole is undercapitalized.SES increases in the institution's leverage and its marginal expected shortfall (MES ), that is, its losses in the tail of the system's loss distribution.We demonstrate empirically the ability of components of SES to predict emerging systemic risk during the financial crisis of 2007-2009.We would like to thank Rob Engle for many useful discussions.

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Metadata

Authors
Acharya, V. V., Pedersen, L. H., Philippon, T., & Richardson, M.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2016-10-19
Volume
30
Issue
1
Pages
2-47
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhw088
OpenAlex
W4230327943
Cited by
1,826
References
0
FWCI
193.82
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Measuring Systemic Risk. https://app.cochat.ai/papers/10.1093/rfs/hhw088
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Acharya, V. V., Pedersen, L. H., Philippon, T., & Richardson, M. (2017). Measuring Systemic Risk. Review of Financial Studies. https://doi.org/10.1093/rfs/hhw088

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Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.