After the Financial Crisis
- Elgar original reference
Edited by Sylvester Eijffinger and Donato Masciandaro
Chapter 11: Defining and Measuring Systemic Risk
11. Defining and Measuring Systemic Risk Sylvester Eijffinger1 Introduction With the planned implementation of the European Systemic Risk Board (ESRB) in 2010, European authorities are trying to identify and avoid future financial crises before they start. This board, under the lead of the European Central Bank (ECB) will have to deal with the macro-prudential supervision of the financial sector in Europe and is mandated to detect ‘systemic risks’. However, the ECB does not have a clear concept of systemic risk itself and even in academia there exists no generally accepted definition. Moreover, in his speech at the CEPR/ESI 13th Annual Conference on ‘Financial Supervision in an Uncertain World’ on 25–26 September 2009 in Venice, ECB Executive Board Member Mr. Lorenzo Bini Smaghi pointed out that ‘firm-level data [...] have been recognized as essential for more accurate assessments of the potential impact of risks materializing. [...]. It should include better data coverage of non-regulated financial sectors, as well as more granular information on key node-institutions in the financial system and on potential inter-linkages between them.’ Bini Smaghi (2009) first stressed the conceptual issues of systemic risk, after which he stressed the tasks of the ESRB being risk detection, risk assessment and ultimately issuing risk warnings. This briefing chapter will be structured in the same way. First, the different definitions of systemic risk will be discussed, to be able to pinpoint 1 The author gratefully acknowledges the very helpful comments of Mr. Edin Mujagic, MSc and the excellent research assistance of Mr. Rob...
You are not authenticated to view the full text of this chapter or article.
Elgaronline requires a subscription or purchase to access the full text of books or journals. Please login through your library system or with your personal username and password on the homepage.
Non-subscribers can freely search the site, view abstracts/ extracts and download selected front matter and introductory chapters for personal use.
Your library may not have purchased all subject areas. If you are authenticated and think you should have access to this title, please contact your librarian.