Topic: Contributions on systemic risk Title: Systemic risk in the American financial system: A view from the top Authors:  Hanane Dakhli - Champagne School of Management PRISM Sorbonne (France) [presenting]
Abstract: Previous research and the recent global financial crisis show that there is a persistent requirement of managing properly systemic risk in the financial system. The level of predictability of the recent financial crisis is empirically assessed based on five cross-sectional measures of systemic risk and contagion effects (Conditional Value-at-Risk, Distressed Insurance Premium, Co-Risk, Marginal Expected Shortfall and Systemic Expected Shortfall). Also, in order to capture the link between systemic risk and a range of balance sheet indicators related to a specific financial company, over 2007-2015, we use OLS panel estimation based on a sample of major US financial firms.