The US government's failure to provide oversight and prudent regulation of the financial
markets, together with excessive risk taking by some financial institutions, pushed the world …

We review the extensive literature on systemic risk and connect it to the current regulatory
debate. While we take stock of the achievements of this rapidly growing field, we identify a …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial
system conditional on institutions being under distress. We define an institution's …

We examine the relevance and effectiveness of stock return correlations among financial
institutions as an indicator of systemic risk. By analyzing the trends and fluctuations of daily …

Discussions of public oversight of financial markets often make reference to “systemic risk”
as a rationale for prudent policy making. For example, mitigating systemic risk is a common …

We provide a survey of 31 quantitative measures of systemic risk in the economics and
finance literature, chosen to span key themes and issues in systemic risk measurement and …

We derive several popular systemic risk measures in a common framework and show that
they can be expressed as transformations of market risk measures (eg, beta). We also derive …

This paper studies the exposure and contribution of financial institutions to systemic risks in
financial markets. We employ three popular indicators of a financial institution's exposure to …

In this paper we propose an empirical methodology to measure systemic risk. Building upon
Acharya et al.(2010), we think of the systemic risk of a financial institution as its contribution …

We propose a measure of systemic risk, Δ CoVaR, defined as the change in the value at risk
of the financial system conditional on an institution being under distress relative to its …