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The beauty contest between systemic and systematic risk measures: Assessing the empirical performance

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  • Cipollini, Fabrizio
  • Giannozzi, Alessandro
  • Menchetti, Fiammetta
  • Roggi, Oliviero

Abstract

To assess the empirical performance of systemic and systematic risk measures and to face some legitimate concerns in literature regarding the connections between those indicators, we investigate how the state (distressed or not) of a financial company at a given date is related to the corresponding risk indicators. Based on a combination of univariate and multivariate Cox regressions, our approach is applied to 2006–2010 data of 171 listed US financial companies (grouped in two subsamples, S&P and Non-S&P), on which we estimate different versions of nine popular systematic and systemic risk measures, along with leverage as control variable.

Suggested Citation

  • Cipollini, Fabrizio & Giannozzi, Alessandro & Menchetti, Fiammetta & Roggi, Oliviero, 2020. "The beauty contest between systemic and systematic risk measures: Assessing the empirical performance," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 316-332.
    • Handle: RePEc:eee:empfin:v:58:y:2020:i:c:p:316-332
    DOI: 10.1016/j.jempfin.2020.06.005
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    2. Chen, Bin-xia & Sun, Yan-lin, 2024. "Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).

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    More about this item

    Keywords

    Systemic and systematic risk; Cox model; Lasso penalization;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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