While these studies define firm-level systemic risk
measures, Allen, Bali, and Tang (2012) introduce an aggregate systemic risk
measure for the financial sector.
Proponents of macroprudential policy have not addressed the possibility that regulators will not automatically adopt the (perhaps constrained) minimization of systemic risk
as their goal to the exclusion of all other concerns.
Traditionally, bank-based systemic risk
grew from the threat that a spike in depositor withdrawal demands would deplete available deposit reserves, seen most notably during the Great Depression.
To test for lead-lag linkages between economic policy uncertainty and systemic risk
, we need tractable measures for both.
Therefore, constructing a directed complex network is necessary to recognize the source of systemic risk
and the important nodes in the contagion.
Thus, the higher the score (the greater the systemic risk
), the more extra capital the bank must hold.
The implementation of the decision may lead to an increase of the systemic risk
with "incalculable consequences" and also encourage bad practices, the fiscal watchdog added.
A comprehensive definition of systemic risk
for financials can be found in Acharya, Engle, and Richardson (2012), who collected three main components and the product accurately reflects what systemic risk
implies for a firm and its stakeholders.
The Council will provide a forum for deliberating upon issues related to systemic risk
, particularly those having cross-market and stability implications.
A SBP statement issued here said the Council will provide a forum for deliberating issues related to systemic risk
, particularly those having cross market and stability implications.
According to the above literature, we can know that banking systems can be modeled as the complex networks, which are useful to investigate systemic risk
. In the realm of complex networks, the entropy has been adopted as a measure to characterize properties of the network topology [20-22].
Financial regulators overseeing the over-the-counter (OTC) derivatives market marked an important milestone this fall as Wall Street banks began complying with the last in a cocktail of derivatives market reforms intended to rein in systemic risk
. This milestone signals the near completion of derivatives rules established in the wake of AIG's bailout and Lehman Brothers' failure.