Il rischio sistemico nelle banche europee: la systemic expected shortfall

The Systemic Expected Shortfall (SES) is a systemic risk measure that is able to identify the so-called SIFIs, i.e. systemically important financial institutions (Acharya et al. (2010)). We use a cross-sectional regression on a sample of European banks during the period of the Eurozone crisis to rank institutions that would subsequently prove problematic. We thus provide indications on the individual and aggregate level of undercapitalization. We choose SES after a review of the causes of systemic risk and competing indexes introduced by the literature.