Perceptions of systemic risk change over time
The main contribution of this paper is using equity prices to identify the relative importance of size and non-size risk factors in determining the systemic risk of a firm, based on whether the factor is priced, and whether its loadings predict government support and systemic risk. We show meaningful time-variation in the market’s evaluation of the sources of systemic risk.
Is Size Everything?
Authors: Samuel Antill and Asani Sarkar
From: Federal reserve Bank of New York
How much SRISK an economy can stand?
Engle and Ruan developed a probability of crisis measure and a SRISK capacity measure for 23 developed economies. These measures reveal the important global externality whereby the risk of a crisis in one country is strongly influenced by the undercapitalization of the rest of the world. This externality, they argue, reinforces the potential benefits of financial regulation and coordination on a country and international level.
How Much SRISK Is Too Much?
Authors: Robert Engle, Tianyue Ruan
From: New York University, National University of Singapore
