Attributing Systemic Risk to Individual Institutions

By Nikola Tarashev, C. Borio, Kostas Tsatsaronis. 2010

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On dependence consistency of CoVaR and some other systemic risk measures (2012, background): “In addition to systemic risk measures [cf. 2, 4, 14, 15, 1, 29, 16], related topics include the structure of interbank networks, e.g., [8, 11], models explaining how systemic risk is created, e.g., [10, 17], and attribution of systemic risk charges within a ﬁnancial system, as discussed in [26, 25].”
Macroprudential Policy - A Literature Review (2012, unknown): “First, it is not additive, in the sense that individual contributions do not add up to the aggregate measure of systemic risk (Tarashev et al., 2010).”
Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy. (2012, methodology): “Tarashev et al. (2010) propose the ‘Contribution Approach’ (CA) method of attributing systemic risk to separate institutions.”
Systemic Importance: Some Simple Indicators (2011, methodology): “Systemic risk in our setup, ie risk to non-bank creditors, stems exclusively from bank defaults.”
Syndication, Interconnectedness, and Systemic Risk (2018, background): “[7], Brownlees and Engle [8], Chan-Lau [11], Huang, Zhou and Zhu [29], and Tarashev, Bori and Tsatsaronis [40].”