Year: 2014
Type: article
Abstract: Systemic risk has proven to be an elusive concept to define. Nevertheless, despite a lack of consensus on the definition of systemic risk, measuring and quantifying it has never been more important. In this paper, we present a survey of systemic risk measures. We explore the literature of current systemic risk measures and the history of the risk measurement to draw out implications for future research in quantifying systemic risk. We find two key conclusions; the first is that the balance sheet is a medium for systemic risk and this risk boils down to choices between debt and equity at the firm level. Finally, we propose a promising outlet of research by modelling balance sheet size growth as a bubble.
Author: Beng Gan
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W1523389091