Systemic risk analysis and SIFI detection: Mechanisms and measurement
Abstract
This paper introduces the relevance of systemic risk measurement in the financial system, and the related issue of identifying systemically important financial institutions (SIFIs), in an evolving regulatory framework. It goes on to perform a detailed review of systemic risk mechanisms (both in the short and medium run), highlighting the interaction between solvency and liquidity problems. The paper also discusses how systemic risk should be measured. Finally, the paper puts forward some high-level suggestions on the use of multi-layer network simulation to measure systemic risk.
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Author's Biography
Luca Riccetti is Associate Professor of Economics at the University of Macerata in Italy. Previously he was a researcher at Sapienza University in Rome, and post-doc at Marche Polytechnic University, where he obtained his PhD in Economics. He graduated from Bocconi University and worked for two years in the financial sector. His main research interests include the analysis of macroeconomic relationships between the ‘real’ economy and the financial system, monetary policy and portfolio allocation.
Citation
Riccetti, Luca (2022, June 1). Systemic risk analysis and SIFI detection: Mechanisms and measurement. In the Journal of Risk Management in Financial Institutions, Volume 15, Issue 3. https://doi.org/10.69554/ZOTP6312.
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