BIS paper on a framework for assessing systemic risks of major financial institutions

29 April 2009

The working paper proposes a framework for measuring and stress testing the systemic risk of a group of major financial institutions.

The paper proposes a framework for measuring and stress testing the systemic risk of a group of major financial institutions. Results suggest that the theoretical insurance premium that would be charged to protect against losses that equal or exceed 15 % of total liabilities of 12 major US financial firms stood at $110 billion in March 2008 and had a projected upper bound of $250 billion in July 2008.

 

Full paper

 

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