Financial Law and Risk Control
Measuring Systemic Risk
Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson
- Year
- 2017
- Venue
- Review of Financial Studies
- Level
- Advanced
Summary
Develops a measure of each financial firm's contribution to systemic risk based on expected capital shortfall in a crisis. The paper connects firm-level leverage, size, and marginal expected shortfall to the expected undercapitalization of the financial system.
Citation
Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson. "Measuring Systemic Risk." Review of Financial Studies, 2017.
DOI: 10.1093/rfs/hhw088
BibTeX
@article{Acharya2017Measuring,
title = {Measuring Systemic Risk},
author = {Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson},
year = {2017},
journal = {Review of Financial Studies},
doi = {10.1093/rfs/hhw088},
url = {https://academic.oup.com/rfs/article-lookup/doi/10.1093/rfs/hhw088}
}