- Journal Article
Rights / licenseCreative Commons Attribution 4.0 International
In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal contributions. To describe economic shocks and systemic feedback effects, we propose a reduced form stochastic model that can be calibrated to historical data. We also discuss systemic risk limits, systemic risk charges and a cap and trade system for systemic risk. Show more
Journal / seriesRisks
Pages / Article No.
Subjectsystemic risk measure; systemic risk allocation; feedback effects; shadow prices; systemic risk limits; systemic risk charges; cap and trade
Organisational unit09557 - Cheridito, Patrick / Cheridito, Patrick
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