Systemic Risk: A Survey

By O. D. Bandt, Philipp Hartmann. Social Science Research Network, 2000

786 citations recorded by the source corpus.

This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects. The concept also includes simultaneous financial instabilities following aggregate shocks. The quantitative literature on systemic risk, which was evolving swiftly in the last couple of years, is surveyed in the light of this concept. Various rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies of systemic risk in foreign exchange and security settlement systems appear to be non-existent. Moreover, the literature surveyed reflects the general difficulty to develop empirical tests that can make a clear distinction between contagion in the proper sense and joint crises caused by common shocks, rational revisions of depositor or investor expectations when information is asymmetric ('information-based' contagion) and 'pure' contagion as well as between 'efficient' and 'inefficient' systemic events. JEL Classification: G21, G29, G12, E49

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f48bb9f921d1d53f7b4ae7501ec5b074da9a6108

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Citations in the corpus

Towards a Macroprudential Framework for Financial Supervision and Regulation? (2003, neutral): “De Bandt and Hartmann (2000) provide a more general survey of systemic risk and Davis (1995) a broader overview of the literature on financial instability.”
The “Big C”: identifying and mitigating contagion (2012, methodology): “For evidence of the role of wakeup calls and macroeconomic variables in transmitting crises, see Forbes (2004), Fratzscher (2009, 2012), Didier et al. (2010) and Bekaert et al.”
Quantification of systemic risk from overlapping portfolios in the financial system (2018, background): “In a broader sense SR also includes systemide shocks that affect many financial institutions or markets at he same time (De Bandt and Hartmann, 2000). SR arises through the probability of default propagating through any different mechanisms and channels of contagion. In addiion to default contagion,”
Fire‐Sale Spillovers and Systemic Risk (2015, neutral): “4 Fourth, our measures Granger-cause several popular and widely used systemic 1Good surveys are De Bandt and Hartmann (2000); IMF (2011); Acharya, Pedersen, Philippon, and Richardson (2012); Bisias, Flood, Lo, and Valavanis (2012).”
The simple economics of bank fragility (2005, background): “Moreover, we do not stop short by providing 1 For a broad survey of the contagion literature based on correlation analysis see De Bandt and Hartmann (2001). and explaining the classification in weak and strong potential for systemic risk, but we also suggest a measure for the amount of systemic…”
Network Models and Financial Stability (2007, neutral): “(1) De Bandt and Hartmann (2000) provide a comprehensive survey on systemic risk.”
Systemic Risk Measures: The Simpler the Better? (2013, background): “…GDP growth r government deficits have been strongly eroded in many countries.1 Measuring systemic risk has been addressed from a wide variety of perspectives (see the surveys by De Bandt and Hartmann (2000), Acharya, Pedersen, Philippon and Richardson (2010) and International Monetary Fund (2011)).”
Systemic Risk and International Portfolio Choice (2004, neutral): “In contrast to the static model in Chunhachinda, Dandapani, Hamid and Prakash (1997), where polynomial goal programming is used to examine the effect of skewness on portfolio choice by Calomiris (1995) provides a survey of the literature on crises; Bandt and Hartmann (2000) and Dow (2000) survey the”
CISS - A Composite Indicator of Systemic Stress in the Financial System (2012, neutral): “…becomes so widespread that it impairs the functioning of a financial system to the point where economic growth and welfare suffer materially (de Bandt and Hartmann 2000, de Bandt, Hartmann and Peydro 2009, ECB 2009b).1 It distinguishes “(…) between a ‘horizontal’ perspective of systemic risk,…”
Testing for East-West Contagion in the European Banking Sector During the Financial Crisis (2011, methodology): “7 Interdependencies of nancial returns have been traditionally modelled based on correlation analysis (De Bandt and Hartmann, 2001).”
The fundamental principles of financial regulation (2009, background): “For other surveys of systemic risk, see De Bandt and Hartmann (2000) and Ferguson, et al. (2007).”