emlyon faculty: Pr. Bertrand Maillet 

in collaborations with: Dr. Giovanni Bonaccolto, School of Economics and Law, Kore University of Enna, Italy and Pr. Massimiliano Caporin, Department of Statistical Sciences, University of Padova, Italy. 


In the aftermath of the recent subprime crisis, a significant increase in the research interest in systemic risk measures and financial networks has been observed in the financial economics and econometrics literature, from both theoretical and empirical points of views, but also in terms of operational research methodologies. The overall knowledge of the level of systemic risk we associated with each single company or financial instrument reveals indeed several advantages. In fact, this project might help regulators to identify the Systemically Important Financial Institutions (SIFI), and thus helps to follow the evolution of their fragilities, as well as to assess and gauge the stability of the entire financial system. These aspects have also implications for the diffusion of crises within the financial system, with a link to the financial contagion literature. From a different standpoint, systemic risk aspects might also be integrated as a complement to other market risk management tools, for monitoring both single assets and the whole entire financial market, and for developing early warning systems designed for detecting the surge of system-wide events. Consequently, this might have implications both in terms of risk mitigation strategies for individual components of the financial market, as well as to reduce the impacts of occurrences of systemic events, also contributing to the literature on risk minimization.