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Assessment of Systemic Risk Measures

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Välimäki, Juuso
dc.contributor.author Potka, Ville
dc.date.accessioned 2017-07-04T08:42:39Z
dc.date.available 2017-07-04T08:42:39Z
dc.date.issued 2017
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/27223
dc.description.abstract Systemic risk in the financial system presents a daunting challenge for the regulators of the industry worldwide. The behavior of financial institutions may create risks for the functioning of the whole economy, and in spite of theoretical understanding of these risks, their measurement and regulation still faces considerable challenges. This thesis studies the empirical assessment of systemic risk measures. A wealth of literature on the theory and measurement of systemic risk exists, yet there is little work on the assessment of the proposed measures. The assessment is challenging because of a gap between proposed measures and economic theory, diversity of these measures, as well as econometric issues and lack of data. I review existing literature on systemic risk in order to better understand these challenges. I also present an empirical evaluation of one particular method of estimating systemic risk with the SRISK measure, and point out its shortcomings. My main finding is that while the SRISK measure may be useful for the measurement of systemic risk, its usefulness is limited by the sensitivity to underlying modeling choices, and a more thorough empirical understanding of SRISK is necessary before it can be considered as a tool for systemic risk regulation. en
dc.format.extent 66
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Assessment of Systemic Risk Measures en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Taloustieteen laitos fi
dc.subject.keyword systemic risk en
dc.subject.keyword macroprudential regulation en
dc.subject.keyword financial crises en
dc.subject.keyword risk measures en
dc.identifier.urn URN:NBN:fi:aalto-201707046257
dc.type.ontasot Master's thesis en
dc.type.ontasot Maisterin opinnäyte fi
dc.programme Economics en
dc.subject.helecon taloustieteet fi
dc.subject.helecon riski fi
dc.subject.helecon arviointi fi
dc.subject.helecon mittarit fi
dc.subject.helecon makrotalous fi
dc.subject.helecon rahoitusmarkkinat fi
dc.subject.helecon pankit fi
dc.subject.helecon kriisi fi
dc.subject.helecon riskienhallinta fi
dc.ethesisid 15078
dc.location P1 I fi

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