Systemic Risk in the Financial System: New Developments and Challenges

Dear Colleagues,

After the global financial crisis (GFC) of 2007–2009, the regulation paradigm changed, shifting from microprudential to macroprudential regulation because connectedness and financial linkages proved to be destabilizing factors of the financial system. Consequently, researchers and practitioners have tried to develop new measures and tools to capture both the contribution and exposure of financial institutions to systemic risk (e.g., Billio et al., 2012; Adrian and Brunnermeier, 2016; Acharya et al., 2017; Brownlees and Engle, 2017), that is, the risk that could threaten the stability of the entire financial system, and to identify, rank, and regulate systemically important financial institutions (SIFIs). However, these metrics can produce very different estimates of systemic risk (Kleinow et al., 2017) and have several shortcomings (Löffler and Raupach, 2018), which might make them unsuitable for use by policymakers. The appropriate measurement of systemic risk is crucial for efficient regulation.

The aim of this Special Issue is to present, both theoretically and empirically, new developments in the area of systemic risk, with a focus on banks, given their role in financial intermediation and maturity transformation, and their highly leveraged operations (Cerutti et al., 2014), as well as to advance new drivers of system-wide distress. Topics of interest include but are not limited to new developments in the following areas:

• Measures of systemic risk;
• Drivers of systemic risk;
• Predictive power of systemic risk indicators during different crisis periods;
• Climate change and systemic risk;
• ESG performance and systemic risk;
• Macroprudential policy and systemic risk.

References

Acharya, V.V.; Pedersen, L.H.; Philippon, T.; Richardson, M. Measuring Systemic Risk. Rev. Financ. Stud. 2017, 30, 2–47.
Adrian, T.; Brunnermeier, M.K. CoVaR. Am. Econ. Rev. 2016, 106, 1705–1741.
Billio, M.; Getmansky, M.; Lo, A.W.; Pelizzon, L. Econometric measures of connectedness and systemic risk in the finance and insurance sectors. J. Financ. Econ. 2012, 104, 535–559.
Brownlees, C.; Engle, R.F. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk. Rev. Financ. Stud. 2017, 30, 48–79.
Cerutti, E.; Claessens, S.; McGuire, P. Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?; University of Chicago Press: Chicago, IL, USA, 2014; pp. 235–260.
Kleinow, J.; Moreira, F.; Strobl, S.; Vähämaa, S. Measuring systemic risk: A comparison of alternative market-based approaches. Financ. Res. Lett. 2017, 21, 40–46.
Löffler, G.; Raupach, P. Pitfalls in the Use of Systemic Risk Measures. J. Financ. Quant. Anal. 2018, 53, 269–298.

Dr. Nicu Sprincean
Guest Editor

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• systemic risk
• banks
• interconnectedness
• contagion
• systemically important financial institution