Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257884 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 2 [Article No.:] 46 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal contributions. To describe economic shocks and systemic feedback effects, we propose a reduced form stochastic model that can be calibrated to historical data. We also discuss systemic risk limits, systemic risk charges and a cap and trade system for systemic risk.
Subjects: 
systemic risk measure
systemic risk allocation
feedback effects
shadow prices
systemic risk limits
systemic risk charges
cap and trade
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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