On the ranking consistency of systemic risk measures: empirical evidence*

Abendschein, Michael; Grundke, Peter

doi:10.1080/1351847x.2021.1946413

Cited by 4 publications

(4 citation statements)

References 41 publications

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“…For example, in the case of a widespread market downturn or a large-scale financial crisis, the overall impact of systematic risk may become too large and lead to a systemic shock that spreads throughout the financial system. On average, the results of this study indicate that systematic risk is not significantly linked to systemic risk, this finding is in line with Abendschein and Grundke (2022).…”

Section: Jes 511supporting

confidence: 85%

Can market risk explain the systemic risk? Evidence from the US banking industry

Tzouvanas

2023

JES

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PurposeThis paper sheds light on the impact of market risk measures on systemic risk. Market risk, which is captured by the volatility of stock market returns, is also decomposed into systematic and idiosyncratic risks.Design/methodology/approachThe author uses the five-factor asset pricing model and systemic risk methodologies to derive market and systemic risk measures, respectively. Using a sample of 2,667 US banks for over 30 years and employing panel data estimation techniques, the author tests the said relationship.FindingsIt is shown that idiosyncratic risk can surge systemic risk, while systematic risk plays a less important role. Results survive a battery of tests, including different systemic risk measures, controlling causality and interacting with bank size, market fear and crisis periods.Practical implicationsThese findings call for regulatory intervention, especially for large banks with high idiosyncratic risk.Originality/valueThis is the first paper that provides a more granular picture of the relationship between market and systemic risk from the US banking industry for more than 30 years.

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Section: Jes 511supporting

confidence: 85%

Can market risk explain the systemic risk? Evidence from the US banking industry

Tzouvanas

2023

JES

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“…The "global approach", instead, considers a multi-channel approach to systemic risk providing several measures (Bisias et al, 2012;De Bandt et al, 2013;Benoit et al, 2017;Abendschein & Grundke, 2018;Dičpinigaitienė & Novickytė, 2018;Grundke & Tuchscherer, 2019). Over the last decade global systemic risk measures have been proposed (see Benoit et al, 2017) accounting for specific sources such as contagion, bank runs or liquidity crises.…”

Section: Background Literaturementioning

confidence: 99%

“…The measure of connectedness complement the three systemic risk measures (∆CoVaR, MES, SRISK ) in providing direct estimates of the statistical connectivity of financial institutions' asset returns and firm level variables. These measures are recognized as the central metrics in the systemic risk literature (Bisias et al, 2012;De Bandt et al, 2013;Benoit et al, 2017;Abendschein & Grundke, 2018;Dičpinigaitienė & Novickytė, 2018;Grundke & Tuchscherer, 2019).…”

Section: Background Literaturementioning

confidence: 99%

Systemic risk in the Chinese financial system: A panel Granger causality analysis

Cincinelli

Pellini

Urga

2022

International Review of Financial Analysis

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“…in real time. Several papers report the progress on the systemic risk measures (Bisias et al, 2012;De Bandt et al, 2013;Benoit et al, 2017;Abendschein & Grundke, 2018;Di£pinigaitien e & Novickyt e, 2018;Grundke & Tuchscherer, 2019). Over the last decade global Systemic Risk Measures (SRMs) have been proposed (see Benoit et al, 2017) accounting for specic sources such as contagion, bank runs or liquidity crises.…”

Section: Measures Of Systemic Riskmentioning

confidence: 99%