Pitfalls in the Use of Systemic Risk Measures
研究了基于收益的系统性风险贡献度量方法的缺陷，发现银行系统性风险、特质风险、规模或传染性的变化可能降低其度量值，导致错误解读和激励扭曲。
We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and nonlinear return frameworks, assuming normal and heavy-tailed distributions, we identify nonexotic cases in which a change in a bank’s systematic risk, idiosyncratic risk, size, or contagiousness increases the risk of the system but lowers the measured SRC of the bank. Assessments based on estimated SRCs could thus produce false interpretations and incentives. We also identify potentially adverse side effects: A change in a bank’s risk structure can make the measured SRC of its competitors increase more strongly than its own.