An Equilibrium-Based Measure of Systemic Risk

Journal of Risk and Financial Management

Weidong Tian¹  Kevin Tseng²  James Schulte³  Katerina Ivanov⁴ 

[1] Belk College of Business, University of North Carolina at Charlotte, Charlotte, NC 28223, USA;College of Management, National Taiwan University, Taipei 10617, Taiwan;Department of Economics, Florida State University, Tallahassee, FL 32306, USA;McColl School of Business, Queens University of Charlotte, Charlotte, NC 28274, USA;

关键词: systemic risk;    too big to fail;    capital insurance;    loss beta;   

DOI  :  10.3390/jrfm14090414

来源: DOAJ

【 摘 要 】

This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank’s loss portfolio with a recent accounting approach, we perform a comprehensive empirical study of this loss beta measure and document all TBTF banks from 2002 to 2019. Our empirical findings suggest a significant number of too-big-to-fail banks in 2018–2019.

【 授权许可】

Unknown