@article{557,
  author = {Markus K. Brunnermeier and Patrick Cheridito},
  title = {Measuring and Allocating Systemic Risk},
  abstract = { <p>
	This paper develops a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of total systemic risk captures the a priori cost to society for providing tail-risk insurance to the financial system. Our allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal contributions. To describe economic shocks and systemic feedback effects we propose a reduced form stochastic model that can be calibrated to historical data. We also discuss systemic risk limits, systemic risk charges and a cap and trade system for systemic risk.
</p>
 },
  year = {2019},
  journal = {Risks},
  volume = {7},
  url = {https://www.mdpi.com/2227-9091/7/2/46},
  language = {eng},
}