An overview of the systemic risk measures

Basílio, Jorge; Oliveira, Amilcar; Mahmoudvand, Rahim

http://hdl.handle.net/10400.2/14663

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Authors

Basílio, Jorge

Oliveira, Amilcar

Mahmoudvand, Rahim

Abstract(s)

Systemic risk is a specific type of risk that refers to the risk of an complex system to be affect or even collapse due to individual action taken by the agents that compounds that complex system. The goals of this work is based on an axiomatic approach establish a critic description of the most relevant methods used in the determination of systemic risk and identify advantages and disadvantages associated to those methods.