Systemic risk measures: The simpler the better?

Acharya, V.V., Pedersen L.H., Philippon T., Richardson M., 2010. Measuring Systemic Risk. Working Paper. NYU Stern School of Business. Adrian, T., Brunnermeier, M.K., 2008. CoVaR. Staff Report 348. Federal Reserve Bank of New York. Allenspach, 2009, International integration, common exposure and systemic risk in the banking sector, vol. 6 Artzner, 1999, Coherent measures of risk, Mathematical Finance, 9, 203, 10.1111/1467-9965.00068 Berndt, 2010, Decomposing European CDS returns, Review of Finance, 14, 189, 10.1093/rof/rfq004 Bhansali, 2008, Systemic credit risk: what is the market telling us?, Financial Analysts Journal, 64, 16, 10.2469/faj.v64.n4.2 Billio, M., Getmansky, M., Lo, A., Pelizzon, L., 2010. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors. NBER Working Papers 16223. National Bureau of Economic Research, Inc. Blanco, 2005, An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps, Journal of Finance, 60, 2255, 10.1111/j.1540-6261.2005.00798.x Bond, 2010, Market-based corrective actions, Review of Financial Studies, 23, 781, 10.1093/rfs/hhp059 Borio, 2009, Assessing the risk of banking crisis-revisited, BIS Quarterly Review, 29 Borio, 2002, Assessing the risk of banking crisis, BIS Quarterly Review, 43 Brownnlees, C.T., Engle, R., 2010. Volatility, Correlation, and Tails for Systemic Risk Measurement. Working Paper. NYU Stern School of Business. Brunnermeier, 2009, Deciphering the liquidity and credit crunch 2007–08, Journal of Economic Perspectives, 23, 77, 10.1257/jep.23.1.77 De Bandt, O., Hartmann, P., 2000. Systemic Risk: A Survey. Working Paper 35. European Central Bank. Financial Stability Board, International Monetary Fund, Bank for International Settlements, 2009. Guidance to Assess the Systemic Importance of Financial Institutions, Market and Instruments: Initial Consideration. Report to the G20 Finance Ministers and Governors, October. Forte, 2009, Credit spreads: an empirical analysis on the informational content of stocks, bonds, and CDS, Journal of Banking and Finance, 33, 2013, 10.1016/j.jbankfin.2009.04.015 Gonzalo, 1995, Estimation of common long-memory components in cointegrated systems, Journal of Business and Economic Statistics, 13, 27 Granger, 1969, Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37, 424, 10.2307/1912791 Gray, D.F., Merton, R.C., Bodie, Z., 2008. New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability. NBER Working Paper 13607. National Bureau of Economic Research, Inc. Hart, 2011, A new capital regulation for large financial institutions, American Law and Economics Review, 13, 453, 10.1093/aler/ahr001 Huang, 2009, A framework for assessing the systemic risk of major financial institutions, Journal of Banking and Finance, 33, 2036, 10.1016/j.jbankfin.2009.05.017 Hull, 2004, The relationship between credit default swaps, bond yields, and credit rating announcements, Journal of Banking and Finance, 28, 2789, 10.1016/j.jbankfin.2004.06.010 In, 2012, The impact of a new term auction facility on LIBOR-OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis, Journal of International Money and Finance, 31, 1106, 10.1016/j.jimonfin.2011.12.013 International Monetary Fund, 2009. Global Financial Stability Report. International Monetary Fund, 2011. Global Financial Stability Report. Lehar, 2005, Measuring systemic risk: a risk management approach, Journal of Banking and Finance, 29, 2577, 10.1016/j.jbankfin.2004.09.007 Liao, 2009, Bank credit risk and structural credit models: agency and information asymmetry perspectives, Journal of Banking and Finance, 33, 1520, 10.1016/j.jbankfin.2009.02.016 Long, 1997 Longstaff, 2008, An empirical analysis of the pricing of collateralized debt obligations, Journal of Finance, 63, 529, 10.1111/j.1540-6261.2008.01330.x Merton, 1973, A rational theory of option pricing, Bell Journal of Economics and Science, 4, 140 Schwaab, B., Koopman, S.J., Lucas, A., 2011. Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals. Working Paper. Segoviano, M., 2006. Consistent Information Multivariate Density Optimizing Methodology. Financial Markets Group of Discussion Paper 557. London School of Economics. Segoviano, M., Goodhart C., 2009. Banking Stability Measures. IMF Working Paper. Tarashev, N., Borio, C., Tsatsaronis, K., 2010. Attributing Systemic Risk to Individual Institutions. BIS Working Papers 308. Zhou, 2010, Are banks too big to fail? Measuring systemic importance of financial institutions, International Journal of Central Banking, 6, 205