Discussion Paper Series 2014-E-3

A Survey of Systemic Risk Measures:
Methodology and Application to the Japanese Market

Akio Hattori, Kentaro Kikuchi, Fuminori Niwa, Yoshihiko Uchida

The recent financial crisis has prompted academia, country authorities, and international bodies to study quantitative tools to monitor the financial system, especially systemic risk measures. This paper aims to outline these measures and apply them to Japan’s financial system. The paper demonstrates that they are effective tools for monitoring the robustness of financial system on a real-time basis, although there are some caveats.

Keywords: Systemic risk; Risk measure; Early warning indicators; Stress test; Scenario analysis; Macro-prudence; Financial crisis

Views expressed in the paper are those of the authors and do not necessarily reflect those of the Bank of Japan or Institute for Monetary and Economic Studies.

Copyright © 2014 Bank of Japan All Rights Reserved.

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