Where the Risks Lie: A Survey on Systemic Risk

58 Pages Posted: 15 Mar 2015 Last revised: 9 Feb 2016

See all articles by Sylvain Benoit

Sylvain Benoit

Université Paris Dauphine - LEDa-SDFi

Jean-Edouard Colliard

HEC Paris - Finance Department

Christophe Hurlin

University of Orleans

Christophe Pérignon

HEC Paris - Finance Department

Date Written: November 17, 2015

Abstract

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 gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory tools. The second approach uses market data to produce global measures which are not directly connected to any particular theory, but could support a more efficient regulation. Bridging this gap will require encompassing theoretical models and improved data disclosure.

Keywords: Banking, Macroprudential Regulation, Systemically Important Financial In- stitutions, Financial Crises, Too-Big-To-Fail

JEL Classification: G01, G32

Suggested Citation

Benoit, Sylvain and Colliard, Jean-Edouard and Hurlin, Christophe and Pérignon, Christophe, Where the Risks Lie: A Survey on Systemic Risk (November 17, 2015). HEC Paris Research Paper No. FIN-2015-1088 , Available at SSRN: https://ssrn.com/abstract=2577961 or http://dx.doi.org/10.2139/ssrn.2577961

Sylvain Benoit

Université Paris Dauphine - LEDa-SDFi ( email )

Place du Maréchal de Lattre de Tassigny
Paris, Cedex 16 75775
France

Jean-Edouard Colliard

HEC Paris - Finance Department ( email )

France

Christophe Hurlin

University of Orleans ( email )

Université d'Orléans
Rue de Blois B.P. 6739 45
France

Christophe Pérignon (Contact Author)

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

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