TY - JOUR T1 - How Useful Are Aggregate Measures of Systemic Risk? JF - The Journal of Alternative Investments SP - 13 LP - 32 DO - 10.3905/jai.2016.18.4.013 VL - 18 IS - 4 AU - Harry Mamaysky Y1 - 2016/03/31 UR - https://pm-research.com/content/18/4/13.abstract N2 - Following the financial crisis of 2008–2009, a large body of literature has emerged that attempts to quantify and measure systemic risk. In this article, the author focuses on some of the more popular systemic risk indicators from this literature and asks how well they work in the following sense: At the aggregate level, what information do we learn from these systemic risk indicators that is above that which is readily observable in the market? Several popular measures provide very little incremental information beyond that contained in implied volatilities and credit spreads—information that is commonly known to market participants. For some indicators, where neither the cross-sectional mean nor standard deviation contains meaningful incremental information, the author finds that the tail proportion (the cross-sectional proportion of indicators experiencing a tail realization) does contain information that is not already observable in the market.TOPICS: Financial crises and financial market history, tail risks, statistical methods, exchanges/markets/clearinghouses ER -