Seminario A multidimensional systemic risk assessment

Relatore: Ewa Dziwok (University of Economics in Katowice)

Abstract:

Systemic risk measures such as SRISK and S&CRISK quantify financial institutions’ capital shortfalls under extreme stress, but they are typically designed to capture specific sources of fragility. In practice, systemic crises often emerge from the interaction of multiple shocks affecting financial institutions simultaneously. We propose N-RISK, a general framework for measuring systemic capital shortfall that accommodates an arbitrary number of concurrent stress factors. The framework allows systemic risk to arise from heterogeneous sources—including financial market disruptions, liquidity stress, macroeconomic shocks, climate-related events, or geopolitical disturbances—within a unified structure. Conditional sensitivities to these risk drivers are estimated using a multivariate GJR-DCC-GARCH model to capture time-varying exposures and cross-dependencies. The proposed measure nests existing approaches such as SRISK and S&CRISK as special cases while extending naturally to higher-dimensional settings where systemic fragility results from the joint realization of multiple risk factors. An empirical illustration demonstrates how incorporating multiple stress dimensions can alter the assessment of systemic vulnerability.

Organizzatore: Silvia Romagnoli