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A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market

Author

Listed:
  • Akio Hattori

    (Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: akio.hattori@boj.or.jp))

  • Kentaro Kikuchi

    (Deputy Director and Economist, Institute for Monetary and Economic Studies, Bank of Japan (currently, Lecturer, Faculty of Economics, Shiga University, E-mail: kentaro-kikuchi@biwako. shiga-u.ac.jp))

  • Fuminori Niwa

    (Deputy Director and Economist, Institute for Monetary and Economic Studies (currently, Financial Markets Department), Bank of Japan (E-mail: fuminori.niwa@boj.or.jp))

  • Yoshihiko Uchida

    (Director and Senior Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: yoshihiko.uchida@boj.or.jp))

Abstract

The recent financial crisis has prompted academia, country authorities, and international bodies to study quantitative tools to monitor the financial system, especially systemic risk measures. This paper aims to outline these measures and apply them to Japan fs financial system. The paper demonstrates that they are effective tools for monitoring the robustness of financial system on a real-time basis, although there are some caveats.

Suggested Citation

  • Akio Hattori & Kentaro Kikuchi & Fuminori Niwa & Yoshihiko Uchida, 2014. "A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market," IMES Discussion Paper Series 14-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    • Handle: RePEc:ime:imedps:14-e-03
    as

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    File URL: http://www.imes.boj.or.jp/research/papers/english/14-E-03.pdf
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    References listed on IDEAS

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    Cited by:

    1. Thi Thuy Van Vu & Dang Kham Tran, 2019. "Systemic Risk in Vietnam Stock Market," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(3), pages 339-352, March.
    2. Chatterjee, Somnath & Jobst, Andreas, 2019. "Market-implied systemic risk and shadow capital adequacy," Bank of England working papers 823, Bank of England.
    3. Kleinow, Jacob & Moreira, Fernando & Strobl, Sascha & Vähämaa, Sami, 2017. "Measuring systemic risk: A comparison of alternative market-based approaches," Finance Research Letters, Elsevier, vol. 21(C), pages 40-46.
    4. Kalpakam G & Krina TRIVEDI, 2021. "Systemic Risk in Indian Banking: Measurement and Impact of COVID-19," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 143-151.
    5. Jamshed Iqbal & Sami Vähämaa, 2019. "Managerial risk-taking incentives and the systemic risk of financial institutions," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 1229-1258, November.
    6. Mihir Dash, 2021. "Non-Performing Loans and Systemic Risk of Indian Banks," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 10(1), pages 10-20, April.
    7. Maghyereh, Aktham & Abdoh, Hussein, 2021. "The effect of structural oil shocks on bank systemic risk in the GCC countries," Energy Economics, Elsevier, vol. 103(C).

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    More about this item

    Keywords

    Systemic risk; Risk measure; Early warning indicators; Stress test; Scenario analysis; Macro-prudence; Financial crisis;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G01 - Financial Economics - - General - - - Financial Crises
    • G19 - Financial Economics - - General Financial Markets - - - Other

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