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Smart Systemic-Risk Scores

Author

Listed:
  • Sylvain Benoît

    (LEDa - Laboratoire d'Economie de Dauphine - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres)

Abstract

I propose a new systemic-risk score to identify and regulate systemically important financial institutions (SIFIs) by using an alternative weighting scheme based on volatility to aggregate all systemic-risk facets. Following a portfolio management approach, I equalize the risk contribution of each systemic-risk component to the cross-sectional volatility of my smart systemic-risk scores. To discriminate between several systemic-risk scores, I apply an axiomatic framework to express supervisor preferences among systemic-risk scores. Such preferences are based on the expected value of the cross-sectional dispersion of systemic-risk scores over the years.

Suggested Citation

  • Sylvain Benoît, 2019. "Smart Systemic-Risk Scores," Working Papers hal-02292311, HAL.
    • Handle: RePEc:hal:wpaper:hal-02292311
    as

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