TY - JOUR
T1 - Systemic Risk Measures and Regulatory Challenges
AU - Ellis, Scott
AU - Sharma, Satish
AU - Brzeszczyński, Janusz
N1 - Funding Information:
Comments received from two anonymous Referees are gratefully acknowledged. We would like to thank also Monika Marcinkowska for very helpful remarks about the gaps in the literature and suggestions regarding future research directions.
Publisher Copyright:
© 2022 Elsevier B.V.
PY - 2022/8/1
Y1 - 2022/8/1
N2 - This paper discusses different definitions of systemic risk and identifies the challenges, which regulators face in addressing this phenomenon. We conducted a systematic literature review of 4859 abstracts to categorize 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 on 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.
AB - This paper discusses different definitions of systemic risk and identifies the challenges, which regulators face in addressing this phenomenon. We conducted a systematic literature review of 4859 abstracts to categorize 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 on 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.
KW - Systemic Risk
KW - Systematic Literature Review
KW - Data Requirements
KW - Macro-prudential Regulation
KW - COVID-19 Pandemic
KW - COVID-19 pandemic
KW - Macro-prudential regulation
KW - Systemic risk
KW - Data requirements
KW - Systematic literature review
UR - http://www.scopus.com/inward/record.url?scp=85129577451&partnerID=8YFLogxK
U2 - 10.1016/j.jfs.2021.100960
DO - 10.1016/j.jfs.2021.100960
M3 - Article
SN - 1572-3089
VL - 61
JO - Journal of Financial Stability
JF - Journal of Financial Stability
M1 - 100960
ER -