Systemic Risk Measures: The Simpler the Better?

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Where the Risks Lie: A Survey on Systemic Risk (2017, background): “Segoviano and Goodhart (2009) view the banking system as a portfolio of banks, for which individual default probabilities can be estimated from structural approaches or securities prices and, then aggregated at the system level using copulas.”
TENET: Tail-Event driven NETwork risk (2016, methodology): “As for selecting λ, there are two common ways: data-driven generalized cross-validation criterion (GCV) and likelihood-based Schwartz, or Bayesian information criterion-type criteria (SIC, or BIC), Schwarz (1978); Koenker et al.”
Assessing the Contribution of Banks, Insurance and Other Financial Services to Systemic Risk (2014, unknown): “Moreno and Peña (2012) also find that CDS spreads are good estimators of systemic risk.”
Credit Default Swaps: A Survey (2014, background): “8It is worthwhile to note that while most of the papers in this literature assume that the number of traders is fixed, Sambalaibat (2013) develops a search-based model for sovereign CDS where the number of traders is not fixed, and new investors may enter the market because of the availability of he”
Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis (2013, unknown): “We first notice that the 3-month Euribor-OIS spread is highly correlated (0.76) with the indicator of counterparty risk as it has been documented earlier (see e.g. Rodriguez-Moreno and Peña, 2012).”