Systemic Risk Measures and Regulatory Challenges

Ellis, Scott, Sharma, Satish and Brzeszczyński, Janusz (2021) Systemic Risk Measures and Regulatory Challenges. Journal of Financial Stability. ISSN 1572-3089 (In Press)

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This paper discusses different definitions of systemic risk and identifies the challenges regulators face in addressing this phenomenon. We conducted a systematic literature review of 4,859 abstracts to categorise the various methodologies developed to measure systemic risk. In total, 60 systemic risk measures proposed post-2000 have been critically appraised to inform academics and regulators of their practical applications and model vulnerabilities. This review suggests that most of these methods focus on individual financial institutions rather than system stability. Those methodologies directly reflect the current regulations, which aim to ensure individual institutions’ soundness. As macro-prudential regulation evolves, policy-makers face the issues of understanding contagion and how regulations should be implemented. This paper also discusses new systemic risk and regulatory challenges resulting from the current COVID-19 pandemic.

Item Type: Article
Uncontrolled Keywords: Systemic Risk, Systematic Literature Review, Data Requirements, Macro-prudential Regulation, COVID-19 Pandemic
Subjects: N100 Business studies
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: John Coen
Date Deposited: 19 Nov 2021 09:44
Last Modified: 19 Nov 2021 09:45

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