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Erscheinungsjahr: 
2019
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[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 2 [Article No.:] 46 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-19
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
systemic risk measure
systemic risk allocation
feedback effects
shadow prices
systemic risk limits
systemic risk charges
cap and trade
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