{"id":"https://openalex.org/W1861828790","doi":"https://doi.org/10.1137/16m1066087","title":"Measures of Systemic Risk","display_name":"Measures of Systemic Risk","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W1861828790","doi":"https://doi.org/10.1137/16m1066087","mag":"1861828790"},"language":"en","primary_location":{"id":"doi:10.1137/16m1066087","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1066087","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1502.07961","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5045209801","display_name":"Zachary Feinstein","orcid":"https://orcid.org/0000-0002-6733-5724"},"institutions":[{"id":"https://openalex.org/I204465549","display_name":"Washington University in St. Louis","ror":"https://ror.org/01yc7t268","country_code":"US","type":"education","lineage":["https://openalex.org/I204465549"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Zachary Feinstein","raw_affiliation_strings":["(, Washington University in St. Louis)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"(, Washington University in St. Louis)","institution_ids":["https://openalex.org/I204465549"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5053377238","display_name":"Birgit Rudloff","orcid":"https://orcid.org/0000-0003-1675-5451"},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Birgit Rudloff","raw_affiliation_strings":["Princeton University#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Princeton University#TAB#","institution_ids":["https://openalex.org/I20089843"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103075618","display_name":"Stefan Weber","orcid":"https://orcid.org/0000-0001-7770-5672"},"institutions":[{"id":"https://openalex.org/I4210133528","display_name":"Leibniz University of Applied Sciences","ror":"https://ror.org/03eqwj662","country_code":"DE","type":"education","lineage":["https://openalex.org/I4210133528"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Stefan Weber","raw_affiliation_strings":["Leibniz University of Hanover"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Leibniz University of Hanover","institution_ids":["https://openalex.org/I4210133528"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":15.8234,"has_fulltext":false,"cited_by_count":140,"citation_normalized_percentile":{"value":0.99203832,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":100},"biblio":{"volume":"8","issue":"1","first_page":"672","last_page":"708"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9927999973297119,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/systemic-risk","display_name":"Systemic risk","score":0.9553192853927612},{"id":"https://openalex.org/keywords/risk-analysis","display_name":"Risk analysis (engineering)","score":0.5593962669372559},{"id":"https://openalex.org/keywords/cash-flow","display_name":"Cash flow","score":0.5113827586174011},{"id":"https://openalex.org/keywords/bailout","display_name":"Bailout","score":0.473432332277298},{"id":"https://openalex.org/keywords/financial-risk-management","display_name":"Financial risk management","score":0.46040642261505127},{"id":"https://openalex.org/keywords/capital-requirement","display_name":"Capital requirement","score":0.45224061608314514},{"id":"https://openalex.org/keywords/economic-capital","display_name":"Economic capital","score":0.4397210478782654},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.4231579303741455},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4169784188270569},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.38940346240997314},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.34720849990844727},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.32793664932250977},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2503396272659302},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.2126345932483673},{"id":"https://openalex.org/keywords/financial-crisis","display_name":"Financial crisis","score":0.16029369831085205},{"id":"https://openalex.org/keywords/incentive","display_name":"Incentive","score":0.07704383134841919}],"concepts":[{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.9553192853927612},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.5593962669372559},{"id":"https://openalex.org/C163428354","wikidata":"https://www.wikidata.org/wiki/Q1047513","display_name":"Cash flow","level":2,"score":0.5113827586174011},{"id":"https://openalex.org/C2779775300","wikidata":"https://www.wikidata.org/wiki/Q44312","display_name":"Bailout","level":3,"score":0.473432332277298},{"id":"https://openalex.org/C43071985","wikidata":"https://www.wikidata.org/wiki/Q2906013","display_name":"Financial risk management","level":3,"score":0.46040642261505127},{"id":"https://openalex.org/C2864544","wikidata":"https://www.wikidata.org/wiki/Q2914988","display_name":"Capital requirement","level":3,"score":0.45224061608314514},{"id":"https://openalex.org/C57495647","wikidata":"https://www.wikidata.org/wiki/Q295385","display_name":"Economic capital","level":3,"score":0.4397210478782654},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4231579303741455},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4169784188270569},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.38940346240997314},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.34720849990844727},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.32793664932250977},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2503396272659302},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.2126345932483673},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.16029369831085205},{"id":"https://openalex.org/C29122968","wikidata":"https://www.wikidata.org/wiki/Q1414816","display_name":"Incentive","level":2,"score":0.07704383134841919},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/16m1066087","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1066087","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:research.wu.ac.at:publications/4605dc60-5317-48d5-8574-6c734d979329","is_oa":false,"landing_page_url":"https://research.wu.ac.at/de/publications/4605dc60-5317-48d5-8574-6c734d979329","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Feinstein, Z, Rudloff, B & Weber, S 2017, 'Measures of systemic risk', SIAM Journal on Financial Mathematics, vol. 8, no. 1, pp. 672 - 708. https://doi.org/10.1137/16M1066087","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:arXiv.org:1502.07961","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1502.07961","pdf_url":"https://arxiv.org/pdf/1502.07961","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1502.07961","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1502.07961","pdf_url":"https://arxiv.org/pdf/1502.07961","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W1278184806","https://openalex.org/W1611799189","https://openalex.org/W1727796469","https://openalex.org/W1861828790","https://openalex.org/W1912725461","https://openalex.org/W1967696650","https://openalex.org/W1975884238","https://openalex.org/W1976406849","https://openalex.org/W1993455616","https://openalex.org/W1995245793","https://openalex.org/W2008008561","https://openalex.org/W2019291268","https://openalex.org/W2023958886","https://openalex.org/W2112693915","https://openalex.org/W2114138382","https://openalex.org/W2124307970","https://openalex.org/W2144455032","https://openalex.org/W2158054781","https://openalex.org/W2158978904","https://openalex.org/W2162337502","https://openalex.org/W2163126310","https://openalex.org/W2185872883","https://openalex.org/W2187912707","https://openalex.org/W2345290176","https://openalex.org/W2400596708","https://openalex.org/W2560927614","https://openalex.org/W2667583655","https://openalex.org/W2949381599","https://openalex.org/W2987552422","https://openalex.org/W3022003559","https://openalex.org/W3121687934","https://openalex.org/W3121739364","https://openalex.org/W3122471459","https://openalex.org/W3124158055","https://openalex.org/W3124550194","https://openalex.org/W3125035782","https://openalex.org/W3125331233","https://openalex.org/W3125456580","https://openalex.org/W4230327943","https://openalex.org/W4239396689","https://openalex.org/W4246715751","https://openalex.org/W4301754813"],"related_works":["https://openalex.org/W3122638157","https://openalex.org/W4386267738","https://openalex.org/W3117472801","https://openalex.org/W2978975132","https://openalex.org/W3124672255","https://openalex.org/W3122770380","https://openalex.org/W3162062275","https://openalex.org/W3124383024","https://openalex.org/W2478394723","https://openalex.org/W2164425594"],"abstract_inverted_index":{"Systemic":[0,141],"risk":[1,5,27,64,83,87,142,168,186,227],"refers":[2],"to":[3,12,15,50,55,110,137,155,203,243],"the":[4,7,16,19,29,36,67,70,74,94,111,115,118,146,160,164,189,195,205,214],"that":[6,108,134,153,200,229],"financial":[8,41,78,95],"system":[9,20,72,119,206],"is":[10,58,143,201],"susceptible":[11],"failures":[13],"due":[14],"characteristics":[17],"of":[18,25,33,40,62,69,76,90,93,114,131,148,150,166,198,216],"itself.":[21],"The":[22,43,80],"tremendous":[23],"cost":[24],"systemic":[26,52,63,82,86,167,185,226,245],"requires":[28,99],"design":[30],"and":[31,73,124,163,176,239],"implementation":[32],"tools":[34],"for":[35,173],"efficient":[37],"macroprudential":[38],"regulation":[39],"institutions.":[42],"current":[44],"paper":[45],"proposes":[46],"a":[47,59,77,120,129,138,217],"novel":[48],"approach":[49,223],"measuring":[51],"risk.":[53],"Key":[54],"our":[56,222],"construction":[57],"rigorous":[60],"derivation":[61],"measures":[65,84,187,228],"from":[66],"structure":[68],"underlying":[71],"objectives":[75],"regulator.":[79],"suggested":[81],"express":[85],"in":[88,117,180,188],"terms":[89],"capital":[91,112,152,199],"endowments":[92],"firms.":[96],"Their":[97],"definition":[98,165],"two":[100],"ingredients:":[101],"A":[102],"cash":[103],"flow":[104],"or":[105],"value":[106],"model":[107],"assigns":[109],"allocations":[113,149],"entities":[116],"relevant":[121],"stochastic":[122],"outcome;":[123],"an":[125,171],"acceptability":[126],"criterion,":[127],"i.e.,":[128],"set":[130,147],"random":[132],"outcomes":[133],"are":[135],"acceptable":[136,156,207],"regulatory":[139],"authority.":[140],"measured":[144],"by":[145],"additional":[151],"lead":[154],"outcomes.":[157],"We":[158],"explain":[159],"conceptual":[161],"framework":[162],"measures,":[169],"provide":[170],"algorithm":[172],"their":[174,178],"computation,":[175],"illustrate":[177],"application":[179],"numerical":[181],"case":[182],"studies.":[183],"Many":[184],"literature":[190],"can":[191],"be":[192,241],"viewed":[193],"as":[194,234,236],"minimal":[196],"amount":[197],"needed":[202],"make":[204],"after":[208],"aggregating":[209],"individual":[210],"risks,":[211],"hence":[212],"quantify":[213],"costs":[215,233],"bail":[218],"out.":[219],"In":[220],"contrast,":[221],"emphasizes":[224],"operational":[225],"include":[230],"both":[231],"ex-post-bailout":[232],"well":[235],"ex-ante-capital":[237],"requirements":[238],"may":[240],"used":[242],"prevent":[244],"crises.":[246]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":8},{"year":2024,"cited_by_count":11},{"year":2023,"cited_by_count":13},{"year":2022,"cited_by_count":12},{"year":2021,"cited_by_count":24},{"year":2020,"cited_by_count":18},{"year":2019,"cited_by_count":22},{"year":2018,"cited_by_count":10},{"year":2017,"cited_by_count":11},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":5},{"year":2013,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2019-06-27T00:00:00"}