Journal of Financial Stability 28 (2017) 91114

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Journal of Financial Stability

journal homepage: www.elsevier.com/locate/jfstabil

An analysis of the literature on systemic nancial risk: A survey,

Walmir Silva a,b , Herbert Kimura a , Vinicius Amorim Sobreiro a,
a
University of Braslia, Department of Management, Campus Darcy Ribeiro, Braslia, Federal District 70910-900, Brazil
b
Central Bank of Brazil, Braslia, Brazil

a r t i c l e i n f o a b s t r a c t

Article history: This article presents an analysis of the literature on systemic nancial risk. To that end, we analyze
Received 1 November 2016 and classify 266 articles that were published no later than September 2016 in the databases Scopus and
Received in revised form Web of Knowledge; these articles were identied using the keywords systemic risk, nancial stability,
29 November 2016
nancial, measure, indicator, and index. They were evaluated based on 10 categories, namely,
Accepted 14 December 2016
type of study, type of approach, object of study, method, spatial scope, temporal scope, context, focus,
Available online 21 December 2016
type of data used, and results. The analysis and classication of this literature made it possible to identify
the remaining gaps in the literature on systemic risk; this contributes to a future research agenda on the
JEL classication:
G01
topic. Moreover, the most inuential articles in this eld of research and the articles that compose the
G15 mainstream research on systemic nancial risk were identied.
G2 2016 Elsevier B.V. All rights reserved.
G28
C58
C6

Keywords:
Systemic risk
Financial stability
Bibliometry
Financial
Measure

1. Introduction in addition to becoming globalized; moreover, the introduction of

Research on systemic risk in nancial markets has intensied
since the US mortgage crisis that began in 2007. The vulnera-
bility of the nancial system was exposed by the bankruptcy of
Lehman Brothers in September 2008 and Eurozone the sovereign
debt crisis that followed. Such events generate panic and chain
reactions, undermining the condence that is necessary for the
proper functioning of the nancial system. According to the Inter-
national Monetary Fund (IMF), the lack of effective mechanisms for
addressing these situations poses a signicant risk (IMF, 2009).
These events are even more serious because the nancial sector
as a proportion of the overall economy in many countries has grown
This document was a collaborative effort.
The views expressed in this work are those of the authors and do not necessarily
reect those of the Central Bank of Brazil nor those of its members.
Corresponding author.
E-mail addresses: walmir@impa.br (W. Silva), herbert.kimura@gmail.com
(H. Kimura), sobreiro@unb.br (V.A. Sobreiro).
telematic technologies has increased trading speed. According to
Grilli et al. (2014a), in recent decades, the economic system has
witnessed a substantial transfer of resources from the productive
segment to the nancial sector. According to the same authors, the
nancialization of the economy is one of the factors responsible for
growing nancial instability, reected in nancial crises that have
become more intense over the years.
Oort (1990) cites the following causes of vulnerability to the
banking system: (i) larger bank bankruptcies causing a general
nancial crisis due to the dense network of connections among
banks; (ii) the systemic risks alleged to be inherent in certain new
bank products; and (iii) the impact of external events, such as
debt crises, sudden changes in market rates, and deregulation. Oort
(1990) considers the likelihood of a major banking crisis to be small,
mainly because of increased banking oversight and its application
on a comprehensive and consolidated global basis (Oort, 1990, p.
463). Subsequent events, particularly the 2008 crisis, have contra-
dicted this assumption.
Interestingly, certain articles published before the 2007 cri-
sis called attention to the increased systemic nancial risk. For

http://dx.doi.org/10.1016/j.jfs.2016.12.004
1572-3089/ 2016 Elsevier B.V. All rights reserved.
92 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114

example, De Nicolo and Kwast (2002) state that the ongoing consol-
idation of the nancial system was one of the most notable features
at that time and that the establishment of a number of very large
and, in some cases, very intricate nancial institutions increased
concerns regarding the growth of systemic risk. Lehar (2005) also
notes an increase in systemic risk in the banking sector due to the
ongoing rapid integration of nancial markets; this was a cause for
concern among regulators and supranational agencies given that
the concurrent insolvency of many banks could generate a serious
economic crisis, as past experience had already shown.
Danelsson (2002) warns that macro-prudential regulation
focused only on the risks taken by banks and other nancial insti-
tutions individually and was not sufcient to prevent crises. In the
opinion of this author, risk measures that consider only the specic
risk of the institution do not help in the monitoring of systemic risk;
on the contrary, they can aggravate it. Moreover, Danielsson et al.
(2016) show that model risk increases with market uncertainty,
which has to be taken into account given the fundamental role risk
models play in the regulatory process.
The IMF in its Global Financial Stability Report of 2009 draws
attention to the need for tools that would allow systemic risk to be
detected and states that the ability to identify systemic risk at an
early stage can allow regulators to proactively engage in dening
measures to control crisis (IMF, 2009).
As identied in the present study, the academic research on sys-
temic risk has grown since the nancial crisis that began in 2007,
which shows the relevance of the subject. Consequently, following
the method proposed by Jabbour (2013), Lage-Junior and Godinho-
Filho (2010), and Seuring (2013), the objectives of this study are as
follows:
Identify articles in the Scopus and Web of Knowledge databases
related to systemic nancial risk to build a sample
Classify and code the characteristics and scope of the papers
Generate a summary of the contribution of each paper and ana-
lyze the mainstream research on systemic nancial risk
Identify the strengths and weaknesses of the studies
Identify the most inuential articles in this eld of study, building
a network of studies
Provide a framework to address the relevant gaps in the current
discussion on systemic nancial risk
Below, we present the research method (Section 2); the classi-
cation and coding mechanism for the papers (Section 3); a brief
review of the concept of systemic nancial risk (Section 4); the
results of the article classication, including perceived gaps, as well
as the identication of research networks and analysis of the main
research path (Section 5); and nal considerations (Section 6).
First stage: Perform a comprehensive search of the published
papers on the theme in relevant databases
Second stage: Develop a classication model, coded using a logi-
cal structure
Third stage: Apply the classication model and elaborate a frame-
work of the current discussion on the theme
Fourth stage: Present the characteristics of the scientic literature
and the main results, taking into account the coding system
Fifth stage: Analyze the gaps and suggest opportunities for further
study
To map the scientic production regarding systemic nancial
risk, the rst step was to build a signicant sample of the arti-
cles produced in the eld. Thus, on December 22, 2014, searches
were performed in the Scopus database using the keywords sys-
temic risk and nancial stability, further combining systemic
risk and nancial and measure or indicator or index. These
searches were not limited temporally, but the thematic areas were
limited to Social Sciences & Humanities and Physical Sciences,
excluding the thematic areas of Life Sciences and Health Sci-
ences. In the rst search, a sample of 170 articles was obtained,
with 86 available in full for download (only the abstracts were
available for the others). The second search produced 134 arti-
cles, of which 61 were available in full for download. Eight articles
were listed in both searches; therefore, the sample was com-
posed of 139 articles that were available in the database. Of these
articles, two were excluded because they were editorials; three
did not correspond to the articles advertised, due to errors in
the databases; and two were later found to address a subject
different from the one intended. Thus, an initial sample of 132
articles of interest, which were available in full to download was
obtained.
In May 2015, an additional 25 articles published no later than
2014 and not included in the original sample were downloaded
from the Web of Knowledge database, with the same combina-
tions of keywords used in Scopus. In April 2016, it was decided to
incorporate articles that were published in 2015 and available for
download. Thus, an additional 45 articles were added to the sample.
In September 2016, 64 articles published in 2015 and 2016 were
added, for a nal sample of 266 articles downloaded from the Sco-
pus and Web of Knowledge databases for classication, as shown in
Table 1.
Table 1
Sample of articles on systemic nancial risk.
Keywords Total Scopus Web of General
Scopus download Knowledge total
download

2. Research methods Systemic risk and 170 86

nancial stability.
Systemic risk and 134 61
This work follows the method of Jabbour (2013), Lage-Junior and measure or indicator
Godinho-Filho (2010), and Seuring (2013), who refer to Huisingh or index.
(2012). This study is a literature analysis; it is useful for structur- Duplicity inside the 8
ing the results of research that addresses emerging themes; it also database.
Addition of Web of 35
provides a comprehensive assessment of the cutting edge of the lit-
Knowledge.
erature. In addition, this approach aims to characterize the research Exclusions. 7 10
eld and to identify gaps in the research, providing a basis for fur- Totals. 132 25 157
ther investigation (Huisingh, 2012). Although many studies follow Addition of 2015. 35
Addition of 2015 Web 12
a review based method, including the works cited, the research on
of Knowledge.
systemic nancial risk has not been addressed to a large extent. Addition of 2015. 52
Jabbour (2013) and Lage-Junior and Godinho-Filho (2010) propose Addition of 2015 Web 10
that literature reviews should take into consideration the following of Knowledge.
stages: General total. 266
 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114 93

Fig. 1. Number of articles per journal.

Regarding the vehicles of publication of the articles, it is
observed that 17 journals concentrated 61% of the published arti-
cles (162 of 266), as shown in Table 2.
A large dispersion of publishing vehicles was observed for the
remaining 125 articles. In total, the sample consists of articles
published in 104 journals, with the vast majority of journals (74)
publishing only one article and 15 journals publishing two articles,
as shown in Fig. 1.
By organizing articles by publication year, we observe that only
two articles in the sample were published in 2001 or before 2001.
From 2002 onward, articles on systemic nancial risk occurred
every year on a regular basis but at low frequency until 2008.
From 2009 onwards, after the bankruptcy of Lehman Brothers
and the worsening of the global nancial crisis, the number of
articles on systemic nancial risk grew signicantly, as shown in
Fig. 2.
Once the articles were read and analyzed, a proposed classi-
cation system was built, and it was rened as more articles were
analyzed. Ten classes were proposed for analyzing and mapping the
scientic production on systemic nancial risk; they are presented
in the next section together with the classication of the articles.
3. Classication and coding
The structure for classication is built following the method pro-
posed by Jabbour (2013), Lage-Junior and Godinho-Filho (2010),
and Seuring (2013). The classication scheme includes 10 cate-
gories, numbered 1 through 10. Each of the classications is also
coded with letters (A, B, C, etc.). Thus, this classication system
involves an aggregation of numbers and letters. It is important to
note that an article can be associated with several codes for a given
item.
Classication 1: Type of study, coded on a scale from A to C
Classication 2: Approach, coded from A to D
Classication 3: Object of study, coded from A to J
Classication 4: Comprehensiveness in geographic terms, coded
from A to E

Fig. 2. Number of articles per year.

94 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114

Table 2 Table 3
Number of articles published per journal. Classication and coding used to analyse the articles.

Journal Number of articles Rating Meaning Encryption

Journal of Financial Stability. 41 A Theoretical.

Journal of Banking & Finance. 35 1 Study type. B Empirical.
Journal of Economic Dynamics and Control. 11 C Both.
Physica A. 11
A Quantitative.
Journal of International Financial Markets, Institutions 8
B Qualitative.
and Money.
2 Type of approach. C Quantitative and qualitative.
Journal of International Money and Finance. 8
D Review/Survey.
Scientic Reports. 7
E Not applicable.
Economic Modelling. 5
International Review of Economics & Finance. 5 A Regulation.
International Review of Financial Analysis. 5 B Market risk.
Journal of Financial Intermediation. 5 C Credit Risk/Default risk/Counterparty
Insurance: Mathematics and Economics. 4 risk/Sovereign risk.
Journal of Financial Services Research. 4 D Liquidity risk.
Journal of Econometrics. 4 3 Object of study.
E Contagion.
Journal of Financial Economics. 3 F Size of institutions.
National Institute Economic Review. 3 G Interconnectivity/Interdependence.
Review of Financial Studies. 3 H
Annals of Finance. 2 Concentration/Diversication/Competition.
Annual Review of Financial Economics. 2 I Others.
Economic Systems. 2 J Not applicable.
European Economic Review. 2
Financial Markets, Institutions and Instruments. 2 A One country.
International Economics. 2 B More than one country.
International Journal of Finance and Economics. 2 4 Scope. C Region/Block.
Journal of Central Banking Theory and Practice. 2 D World.
Journal of Empirical Finance. 2 E Not specied/Not applicable.
Journal of International Economics. 2 A Developed country.
Mathematical Finance. 2 B Undeveloped country.
Procedia Social and Behavioral Sciences. 2 5 Context.
C Both.
Proceedings of the National Academy of Sciences of the 2 D Not applicable.
United States of America.
Research in International Business and Finance. 2 A Financial institutions in general.
The Spanish Review of Financial Economics. 2 B Banks.
Others. 74 C Stock market.
D Insurance companies.
6 Focus.
E Investment funds/Hedge funds.
Classication 5: Context, related to the degree of development of F Real Estate/Mortgages.
G General market (nonnancial).
the countries analyzed, coded from A to D H Countries/Government Bonds.
Classication 6: Focus, related to the type of institutions and mar- I Other segments.
kets analyzed, coded from A to H
A Up to 2 years.
Classication 7: Period studied, coded from A to E
B From 2 to 5 years.
Classication 8: Type of data analysed, coded from A to E 7 Studied periods. C From 5 to 10 years.
Classication 9: Methods used, coded from A to D D More than 10 years.
Classication 10: Results, coded from A to E E Not applicable.

A From market.
Table 3 shows the classication structure and codes used. B From balance sheets.
8 Types of data analysed. C Macroeconomic.
The full list of articles that comprise the sample and their classi-
D From regulators, IMF, and other bodies.
cation in the various items listed above are shown in Tables 48. E Others.
F Not applicable.
4. A brief conceptual foundation of nancial systemic risk A Econometric/Statistical/Multivariate
analysis.
9 Methods used.
4.1. Denition of systemic nancial risk B Computational/Simulation.
C Mathematical modelling.
D Not applicable.
According to Summer (2003), there is no universal denition
of systemic nancial risk. For De-Bandt and Hartmann (2000), any A New perspectives.
B Consistent with previously published
concept of systemic nancial risk should include widespread events
10 Results. literature.
in the banking and nancial segments and payment and settlement C Replication to a different context or
systems. The effects of contagion are at the core of the concept, period.
which also includes simultaneous instances of nancial instability D Comparative study.
following aggregate shocks. According to these authors, several rig- E Not applicable.

orous models of contagion within the banking and payment system

have been suggested, but there is no general theoretical framework.
More specically, it is difcult to establish empirical tests that can
allow a distinction between the contagion itself and joint crises
caused by common shocks (De-Bandt and Hartmann, 2000).
The European Central Bank (ECB, 2009) characterizes systemic
risk as the possibility of an institution failing to honor its obliga-
tions, prompting the same failure on the part of other participants
and causing wider effects due to liquidity and credit constraints;
ultimately, the stability of the nancial system is jeopardized. For
the ECB, one perspective is to describe it as the risk of experiencing a
strong systemic event. Such an event adversely affects a number of sys-
temically important intermediaries or markets (including potentially
related infrastructures) (ECB, 2009, p. 134). In the same vein, Lehar
 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114 95

Table 4
Articles that compose the sample.

Study Type Approach Object Scope Context Focus Period Data Method Results

Aboura and Wagner (2016) 1B 2A 3B 4A 5A 6C 7D 8A 9A 10A

Abreu and Gulamhussen (2013) 1B 2A 3A, 3F 4D 5C 6B, 6C 7A 8A 9A 10B
Adrian et al. (2015) 1A 2C 3A 4A 5A 6A 7D 8A, 8B, 8D 9D 10B
Aglietta and Scialom (2010) 1A 2B 3A 4D 5C 6B 7D 8A, 8C, 8D 9C 10B
Ahrend and Goujard (2015) 1B 2A 3C,3E 4D 5C 6B 7D 8A, 8B, 8C 9A 10B
Aleksiejuk and Holyst (2002) 1C 2A 3E, 3G 4E 5D 6B 7E 8F 9B, 9C 10B
Alexander (2011) 1A 2B 3A 4C 5A 6A 7D 8D 9D 10A
Allen et al. (2012) 1B 2A 3B, 3D 4D 5C 6B 7D 8A, 8C 9A 10A
Allen and Carletti (2013) 1A 2C 3A, 3B, 3I 4E 5D 6F 7E 8F 9D 10D
Amini et al. (2013) 1A 2A 3A, 3E, 3G 4A 5B 6B 7A 8D 9A, 9C 10A
Amini et al. (2016) 1C 2A 3A, 3C, 3E, 3G 4E 5D 6B 7E 8E 9B, 9C 10B
Andersen et al. (2011) 1B 2A 3B 4D 5C 6C 7C 8A 9A 10A
Anginer et al. (2014a) 1B 2A 3A, 3I 4D 5C 6B 7C 8A, 8B, 8C 9A 10A
Anginer et al. (2014b) 1B 2A 3C, 3H 4D 5C 6B 7D 8A, 8B 9A 10A
Anufriev and Panchenko (2015) 1B 2A 3G, 3E 4A 5A 6A, 6G 7D 8A 9A 10B
Apostolakis and Papadopoulos (2015) 1B 2A 3B, 3G 4B 5A 6B, 6I 7D 8A, 8D 9A 10C
Arinaminpathy et al. (2012) 1B 2A 3F, 3G 4A 5A 6B 7D 8A, 8B 9A 10B
Arnold et al. (2012) 1A 2B 3A 4D 5C 6G 7E 8D 9D 10B
Arora and Rathinam (2011) 1A 2B 3A, 3I 4A 5B 6G, 6I 7D 8D 9D 10B
Ashraf et al. (2016) 1B 2A 3A 4C 5B 6B 7D 8C, 8D 9A 10B
Avramidis and Pasiouras (2015) 1B 2A 3B, 3C, 3G 4D 5C 6B 7D 8A, 8B 9A 10A
Baglioni and Cherubini (2013) 1B 2A 3C, 3I 4C 5A 6B 7B 8A, 8B, 8D 9A 10A
Balbs et al. (2016) 1B 2A 3A, 3C, 3E, 3G 4B 5A 6A, 6H 7B 8A 9A 10B
Balogh (2012) 1B 2A 3A 4C 5A 6B 7C 8C, 8D 9A 10B
Banerjee et al. (2016) 1B 2A 3C, 3G 4C 5A 6B, 6H 7B 8A 9A 10B
Banulescu and Dumitrescu (2014) 1B 2A 3B, 3F, 3G 4A 5A 6B, 6D, 6I 7D 8A 9A 10B
Barnea et al. (2015) 1C 2A 3I 4E 5D 6B 7E 8E 9C 10B
Barnett and Chauvet (2011) 1C 2A 3I 4A 5A 6G 7D 8A, 8C, 8D 9A 10B
Barth and Schnabel (2013) 1B 2A 3B, 3F, 3G 4D 5C 6B 7C 8A, 8B, 8C, 8D 9A 10B
Barth and Wihlborg (2016) 1A 2B 3A, 3F, 3I 4B 5A 6B 7D 8B, 8D 9D 10B
Battaglia and Gallo (2013) 1B 2A 3I 4A 5A 6B 7C 8A, 8B 9A 10C
Battiston et al. (2012a) 1A 2A 3E, 3G 4E 5D 6B 7E 8F 9C 10B
Battiston et al. (2012b) 1B 2A 3C, 3G 4A 5A 6B 7B 8D 9A 10A
Baur and Schulze (2009) 1B 2A 3E, 3I 4D 5C 6C 7D 8A 9A 10A
Beale et al. (2011) 1A 2A 3A, 3H 4E 5D 6B 7E 8F 9A, 9B 10B
Beck et al. (2013) 1B 2A 3H 4D 5C 6B 7D 8A, 8B, 8D 9A 10A
Bengtsson (2014) 1A 2B 3A, 3C, 3D, 3I 4D 5C 6E, 6I 7B 8D 9D 10B
Benoit (2014) 1B 2A 3A, 3B 4C 5A 6B 7D 8A 9A 10D
Berger and Pukthuanthong (2012) 1B 2A 3B, 3E, 3G 4D 5C 6C 7D 8A 9A 10B
Berger and Pukthuanthong (2016) 1B 2A 3B 4A 5A 6C 7D 8A, 8C 9A 10B
Bernal et al. (2014) 1B 2A 3B 4B 5A 6B, 6C, 6D, 6I 7C 8A 9A 10C
Bernal et al. (2016) 1B 2A 3C 4B 5A 6H 7B 8A 9A 10B
Betz et al. (2016) 1B 2A 3B, 3C, 3G 4C 5A 6B, 6H 7C 8A 9A 10B
Bianconi et al. (2015) 1B 2A 3B, 3I 4A 5A 6B, 6C 7D 8A, 8E 9A 10C
Billio et al. (2012) 1B 2A 3D, 3E, 3G 4A 5A 6B, 6D, 6E, 6I 7D 8A 9A 10A
Birch and Aste (2014) 1C 2A 3C, 3E, 3G 4B 5A 6B 7C 8B 9A, 9C 10A
Black et al. (2016) 1B 2A 3B, 3C 4C 5A 6C 7D 8A 9A 10B
Bluhm and Krahnen (2014) 1A 2A 3A, 3E, 3G 4E 5D 6B 7E 8B 9C 10B
Bordo et al. (2014) 1A 2B 3A 4B 5A 6B 7D 8D 9D 10D
Borio (2011) 1A 2B 3A 4A 5A 6A 7B 8D 9A, 9C 10B
Bosma (2016) 1A 2A 3A, 3I 4E 5D 6B 7E 8F 9C 10A
Bowden and Posch (2011) 1A 2B 3A, 3I 4E 5D 6A 7E 8F 9D 10B
Breitenfellner and Wagner (2012) 1B 2A 3B 4C 5A 6C, 6I 7C 8A 9A 10B

(2005) denes systemic nancial risk as the potential of occurrence
of an event that implies the simultaneous bankruptcy of a certain
number of nancial institutions.
For Adrian and Brunnermeier (2010), systemic nancial risk is
related to the malfunction of an institution spreading extensively
and disorganizing the supply of credit and capital to the economy
of real assets. This denition is similar to that presented by Acharya
and Richardson (2009), who denes systemic risk as the joint fail-
ure of nancial institutions and capital markets that considerably
shorten the supply of capital to the real market.
Billio et al. (2012) suggest that one symptom of systemic risk is
related to the existence of abrupt shifts in regime, as the economy
typically uctuates between low volatility during economic growth
and high volatility during economic contraction.
In the words of Abdymomunov (2013, p. 455), In general, sys-
temic risk is perceived as the risk of a negative shock, severely affecting
the entire nancial system and the real economy. This shock can
have different causes and triggers, such as a macroeconomic shock,
a shock caused by the failure of an individual market participant that
affects the entire system due to tight interconnections in the system,
or a shock caused by information disruption in nancial markets.
In his work, the author limits the denition to systemic nancial
stress, which occurs when market participants experience growing
uncertainty and modify their expectations of the economic envi-
ronment, dening other estimates for potential losses and asset
value.
From a more current and comprehensive perspective, Patro et al.
(2013) describe systemic risk as a situation in which the entire
nancial system is simultaneously stressed, with an ensuing credit
and liquidity crisis. Systemic risk can have a signicant inuence
on nancial markets and on the real economy, reducing the supply
of capital and exacerbating capital losses. Furthermore, Patro et al.
(2013) conceptualize systemic risk as the probability of a severe
decline in the nancial system, caused by a strong and broad event,
96 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114

Table 5
Articles that compose the sample (continued).

Study Type Approach Object Scope Context Focus Period Data Method Results

Burkholz et al. (2016) 1A 2A 3G, 3I 4E 5D 6G 7E 8F 9B, 9C 10B

Buti and Carnot (2012) 1A 2C 3C 4C 5A 6H 7D 8A, 8C, 8D 9D 10B
Cabrera Rodrguez et al. (2014) 1B 2A 3E 4A 5B 6A, 6G 7C 8C, 8D 9A 10C
Caccioli et al. (2009) 1A 2A 3I 4E 5D 6A, 6G 7E 8F 9C 10A
Caccioli et al. (2012) 1A 2A 3E, 3F, 3G 4E 5D 6B 7E 8F 9A, 9B 10C
Caccioli et al. (2015) 1B 2A 3C, 3E, 3I 4A 5A 6B 7B 8B 9A 10B
Caetano and Yoneyama (2011) 1B 2A 3B, 3E 4B 5C 6C 7D 8A 9B, 9C 10A
Calice et al. (2011) 1B 2A 3B, 3C 4B 5A 6B 7C 8A 9A 10B
Calice and Ioannidis (2012) 1B 2A 3B, 3C 4B 5A 6B 7B 8A 9A 10B
Calistru (2012) 1A 2B 3A, 3C 4D 5C 6A, 6I 7D 8D 9D 10B
Calms and Thoret (2013) 1B 2A 3A, 3D, 3I 4A 5A 6A 7D 8B, 8D 9A 10A
Calms and Thoret (2014) 1B 2A 3A, 3I 4B 5A 6A 7D 8C, 8D 9A 10A
Cao and Illing (2010) 1A 2A 3A, 3D 4E 5D 6A 7E 8F 9C 10A
Cambn and Estvez (2016) 1B 2A 3B 4A 5A 6A, 6C, 6G, 6H, 6I 7D 8A 9A 10C
Carmassi and Herring (2016) 1B 2A 3A, 3F, 3H 4B 5A 6B 7D 8B 9A 10B
Cerchiello and Giudici (2015) 1B 2A 3C, 3I 4B 5A 6B, 6G 7A 8F 9A, 9B 10A
Chatterjee (2015) 1B 2A 3I 4A 5A 6B, 6C, 6H 7D 8C, 8D 9A, 9C 10B
Civitarese (2016) 1B 2A 3B 4A 5A 6C 7D 8A 9A 10D
Castellacci and Choi (2015) 1A 2B 3E 4C 5A 6G 7E 8B 9C 10C
Castro and Ferrari (2014) 1B 2A 3B, 3F, 3G 4C 5A 6B 7D 8A 9A, 9B 10C
Chang et al. (2008) 1B 2A 3A, 3C, 3H 4A 5B 6B 7C 8B, 8C 9A 10C
Chan-Lau et al. (2012) 1B 2A 3C, 3E 4B 5A 6B, 6C, 6G 7D 8A, 8B, 8C 9A 10B
Chinazzi et al. (2013) 1B 2A 3C, 3G 4D 5C 6C, 6H 7C 8D 9A 10B
Choi et al. (2012) 1B 2A 3B 4A 5A 6B, 6C 7B 8A 9A, 9B 10D
Choi (2014) 1A 2A 3A, 3D, 3E 4E 5D 6A 7E 8A, 8B 9C 10B
Chu (2015) 1C 2C 3H 4A 5A 6B 7D 8C, 8D 9A 10A
Chuang and Ho (2013) 1B 2A 3C, 3G, 3I 4C 5A 6H 7C 8C, 8D 9A 10A
Chung et al. (2012) 1A 2B 3A, 3E, 3I 4A 5A 6G, 6I 7D 8D 9D 10A
Claessens et al. (2013) 1B 2A 3A 4D 5C 6B 7D 8D 9A 10C
Clark and Jokung (2015) 1A 2A 3A 4E 5D 6B 7E 8D 9C 10A
Conciarelli (2014) 1B 2A 3A, 3B, 3C 4B 5A 6B, 6C, 6H 7C 8A 9A 10A
Cox and Wang (2014) 1B 2A 3A, 3C, 3I 4A 5A 6B 7B 8D 9A 10C
Cruz and Lind (2012) 1B 2A 3A, 3C, 3E 4E 5D 6B 7E 8F 9B, 9C 10B
Dabrowski et al. (2016) 1B 2A 3C 4C 5A 6B, 6H 7D 8C, 8D 9A 10D
Danelsson (2002) 1C 2A 3A, 3B, 3I 4B 5A 6C, 6G, 6I 7D 8A 9A 10A
Danielsson et al. (2016) 1B 2A 3B, 3I 4A 5A 6B, 6D, 6F, 6I 7D 8A 9A 10D
De-Jonghe (2010) 1B 2A 3B, 3F, 3H 4C 5A 6B 7D 8A, 8B 9A 10A
De Nicolo and Kwast (2002) 1B 2A 3G, 3H 4A 5A 6B 7D 8A 9A 10A
Derbali and Hallara (2016a) 1B 2A 3B 4C 5A 6B 7C 8A 9A 10C
Derbali and Hallara (2016b) 1C 2A 3C, 3E 4A 5A 6H 7C 8A 9A, 9C 10A
Dermine and Schoenmaker (2010) 1A 2B 3A, 3F 4B 5A 6B, 6H 7A 8D 9D 10B
Devriese and Mitchell (2006) 1A 2B 3D, 3E 4E 5D 6B, 6I 7E 8F 9B 10B
di Bernardino et al. (2015) 1C 2A 3B 4E 5D 6D 7E 8B 9C 10A
Diebold and Yilmaz (2014) 1C 2A 3B, 3C, 3G 4A 5A 6B, 6C, 6D, 6F, 6I 7D 8A 9A 10A
Dimsdale (2009) 1A 2B 3I 4A 5A 6A, 6B, 6G 7B 8A, 8C, 8D 9D 10B
Donadelli and Paradiso (2014) 1B 2A 3B, 3H, 3I 4D 5C 6C, 6H 7D 8A 9A 10B
Duca and Peltonen (2013) 1B 2A 3A, 3B, 3I 4D 5C 6A, 6G 7D 8A 9A 10A
Dumicic (2016) 1B 2A 3A, 3C 4A 5A 6H 7D 8C, 8D 9A 10B
Drakos and Kouretas (2015) 1B 2A 3B 4B 5A 6B, 6D, 6I 7D 8A 9A 10C
Ellis et al. (2014b) 1A 2B 3A, 3I 4D 5C 6B 7E 8F 9D 10B
Farruggio et al. (2013) 1B 2A 3A, 3I 4A 5A 6B 7B 8A, 8D 9A 10B
Fazio et al. (2015) 1B 2A 3A, 3I 4D 5C 6B 7D 8B 9A 10A
Fecht et al. (2012) 1A 2A 3E, 3H, 3I 4D 5C 6B, 6H 7D 8F 9C 10A

such as the breakdown of a nancial institution, that negatively
inuences not only nancial markets but the economy as a whole.
4.2. Factors present in the discussion on systemic nancial risk
An important task is to identify which characteristics of nan-
cial institutions and of the functioning of the market in general have
a greater impact on systemic risk and the amplifying or dampen-
ing of shocks. Some common points identied in the literature are
highlighted next.
Caccioli et al. (2009) identify the uncontrolled proliferation of
nancial instruments with the potential to cause large uctuations
and instability in the nancial system, which may lead the market
to a state in which trading volumes quickly expand and saturate
the demand of investors. This situation makes the market seem
arbitrage-free, efcient, and complete, but it occurs at the expense
of stability.
In Dimsdales 2009 analysis, nancial innovation also appears
as one of the causes of the global nancial crisis that started in
2007, inserted in a framework of excessive risk-taking following
a prolonged period of macroeconomic stability. For this author,
problems initially arise with the increase in defaults in the sub-
prime mortgage market in the United States, leading to a drop in the
Asset Backed Securities (ABS) market in mid-2007. Liquidity prob-
lems then arose in the interbank market, affecting banks around the
world. The bankruptcy of Lehman Brothers in September 2008 was
the turning point, conrming that the world was facing a systemic
nancial crisis (Dimsdale, 2009). Petersen et al. (2011) argue that
the subprime mortgage crisis was mainly caused by the intricate
and complex securitization design of these mortgages, which led
to information asymmetry, contagion, inefciency and loss issues,
pricing opacity, and inefcient risk mitigation.
In the assessment of Battiston et al. (2012a), the diversication
of individual credit risk has the potential to generate ambiguous
 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114 97

Table 6
Articles that compose the sample (continued).

Study Type Approach Object Scope Context Focus Period Data Method Results

Flix et al. (2016) 1B 2A 3B, 3E 4B 5A 6C 7B 8A 9A 10B

Fernndez et al. (2016) 1B 2A 3A, 3H 4D 5C 6B 7D 8C, 8D 9A 10B
Fernndez-Rodrguez et al. (2016) 1B 2A 3C, 3E, 3G 4C 5A 6H 7B 8A 9A 10C
Fink et al. (2016) 1C 2A 3C, 3E, 3G 4A 5A 6B 7A 8D 9A 10B
Framstad (2004) 1A 2A 3B, 3I 4E 5D 6B, 6G 7E 8A 9C 10A
Freixas et al. (2000) 1A 2B 3A, 3D, 3E 4D 5C 6B 7E 8F 9D 10B
Gabbi et al. (2014) 1A 2A 3A, 3C, 3G, 3I 4E 5D 6B, 6G, 6I 7E 8B, 8D 9A, 9C 10A
Gaffeo and Molinari (2015) 1A 2B 3G, 3H 4E 5D 6B 7E 8E 9C 10B
Gao et al. (2015) 1A 2A 3G 4E 5D 6C 7E 8F 9B, 10C 10B
Garicano and Lastra (2010) 1A 2B 3A 4B 5A 6A 7E 8F 9D 10D
Gauthier et al. (2012) 1B 2A 3A, 3C, 3G, 3I 4A 5A 6B 7B 8A, 8B, 8D 9A, 9C 10B
Georgescu (2015) 1C 2A 3A, 3D 4C 5A 6B 7A 8B 9B, 9C 10B
Ghosh (2016) 1B 2A 3I 4D 5B 6B, 6H 7D 8C, 8D 9A 10B
Giglio et al. (2016) 1A 2B 3C, 3I 4B 5A 6B, 6C, 6D, 6F, 7D 8A, 8C 9A 10D
Glasserman and Young (2014) 1C 2A 3E, 3G, 3I 4E 5D 6B 7E 8B, 8D 9C 10B
Gmez (2015) 1A 2A 3I 4E 5D 6B 7E 8E 9C 10A
Goodhart (2010) 1A 2B 3A, 3D, 3I 4E 5D 6B 7E 8F 9D 10B
Gravelle and Li (2013) 1B 2A 3B, 3E 4B 5A 6B, 6D, 6I 7D 8A 9A 10C
Grilli et al. (2014b) 1A 2A 3E, 3F, 3G 4E 5D 6B 7E 8A, 8B, 8D 9A 10B
Grilli et al. (2014a) 1A 2A 3E, 3G 4E 5D 6A, 6B 7E 8A, 8D 9B, 9C 10B
Grira et al. (2016) 1B 2A 3A, 3C 4D 5C 6B 7B 8A, 8B 9A 10B
Guerra et al. (2016) 1B 2A 3C 4A 5B 6B 7D 8D 9A, 9C 10C
Haldane and May (2011) 1A 2A 3A, 3E, 3G, 3I 4E 5D 6B 7E 8D 9C 10A
Hammoudeh and McAleer (2015) 1A 2D 3B 4B 5C 6B, 6G, 6H 7E 8F 9D 10D
Han et al. (2016) 1B 2A 3B 4A 5A 6B, 6C, 6D 7D 8A 9A, 9B, 9C 10B
Hrdle et al. (2016) 1B 2A 3B, 3G 4A 5A 6B, 6D, 6I 7C 8A, 8B 9A 10C
Hasan et al. (2015) 1B 2A 3B, 3C 4A 5A 6B 7D 8A, 8B 9A 10A
Hasman (2013) 1A 2D 3E 4D 5C 6B 7E 8F 9D 10D
Hausenblas et al. (2015) 1B 2A 3B, 3D, 3E, 3G 4A 5A 6B 7C 8B, 8D 9B, 9C 10B
Hautsch et al. (2015) 1C 2A 3B 4A 5A 6A 7C 8A, 8B 9A, 9C 10B
Hawkins (2011) 1A 2A 3C, 3I 4E 5D 6F 7E 8A, 8D 9A, 9C 10B
He and Chen (2016) 1B 2A 3C, 3F, 3G 4A 5B 6B 7A 8B 9C 10C
Hippler and Hassan (2015) 1B 2A 3A, 3B 4A 5A 6B, 6F, 6G 7D 8A, 8B, 8C, 8D 9A 10B
Hirtle et al. (2016) 1B 2A 3B, 3C 4A 5A 6D 7D 8A, 8B, 8D 9A 10B
Horvth and Vasko (2016) 1B 2A 3A, 3I 4D 5C 6G 7D 8C, 8D 9A 10A
Hu et al. (2016) 1B 2A 3B, 3C 4B 5A 6A, 6C, 6G 7C 8A 9A 10B
Huang et al. (2009) 1B 2A 3C 4A 5A 6B 7C 8A 9A, 9B 10B
Huang et al. (2012b) 1B 2A 3A, 3B, 3C 4C 5C 6B 7B 8A, 8B 9A 10C
Huang et al. (2012a) 1B 2A 3C, 3F, 3G 4A 5A 6B 7C 8A 9A 10B
Huang et al. (2016) 1B 2A 3B 4A 5B 6B, 6D, 6I 7B 8A 9A 10C
Hutchison (2002) 1B 2A 3A, 3I 4D 5C 6B, 6I 7D 8C, 8D 9A 10B
Iachini and Nobili (2016) 1B 2A 3D 4A 5A 6C, 6H, 6I 7C 8A, 8D 9A 10B
Idier et al. (2014) 1B 2A 3B 4A 5A 6B 7D 8A, 8B 9A 10D
Iori et al. (2008) 1B 2A 3G 4A 5A 6B, 6I 7D 8D 9A 10B
Iori et al. (2015) 1B 2A 3G 4A 5A 6B 7D 8A 9B, 9C 10A
Jacobs and Van Vuuren (2014) 1B 2A 3A, 3D 4D 5C 6B 7B 8D 9A, 9C 10C
Jin and Zeng (2014) 1A 2A 3C, 3E, 3I 4E 5D 6B 7E 8B, 8C 9C 10C
Jin and Nadal De Simone (2014b) 1B 2A 3C, 3E 4A 5A 6E 7B 8A, 8C, 8D 9A 10B
Jin and Nadal De Simone (2014a) 1B 2A 3A, 3C 4D 5A 6B 7D 8A, 8C, 8D 9A 10A
Jinjarak and Zheng (2014) 1B 2A 3B, 3E, 3G 4D 5C 6E 7C 8A 9A 10C
Jobst (2013) 1B 2A 3G, 3H 4B 5A 6B, 6D 7B 8A 9A 10A
Jobst (2014) 1C 2A 3D, 3E 4A 5A 6B 7C 8B 9A, 9C 10A
Joseph et al. (2014) 1B 2A 3G 4D 5C 6G 7D 8D 9A, 9C 10A

effects at the systemic level, particularly during a credit crisis. The
benet of mitigating results from defaults would be offset by a
situation in which agents are more exposed to credit runs due
to the high number of counterparties. In particular, these authors
argue that the structure of interrelationships and the differences in
nancial robustness levels should be considered when establishing
policies that aim to strengthen the vitality of the nancial market.
Addressing the regulatory framework, Vallascas and Keasey
(2012) argue that restrictions on leverage and imposing liquidity
requirements can enhance the resilience of nancial entities to sys-
temic events. In turn, the results suggest that the size of the bank,
the share of non-interest income, and asset growth are key deter-
minants of the risk exposure of a bank and that these elements
are not at the center of the new regulation. More specically, the
requirement of a cap on absolute bank size can be, in these authors
view, an effective tool for reducing a banks risk of default, given
the occurrence of systemic events (Vallascas and Keasey, 2012).
For Battaglia and Gallo (2013), securitization increases the like-
lihood of banks becoming systemically more risky. Thus, in severe
scenarios, banks that securitize would have higher expected losses
on avarege, which would suggest that the risk transfer by securi-
tization is not signicant in relation to the risk maintained by the
originating bank (Battaglia and Gallo, 2013). Critics of securitiza-
tion (Simkovic, 2013) suggest that the complexity inherent in the
process ends up limiting the ability of the investor to monitor risk.
Furthermore, according to Simkovic (2013), the very dynamics of
competition in a market with many securitization agents would
have lowered the safety standards in the pre-crisis period.
Carbo-Valverde et al. (2015, p. 36) state the following: a secu-
ritization instrument that retains risk (covered bond) may induce a
more prudent risk behaviour of bank than an instrument that provides
risk transferring (ABS).
Securitization and leverage are constituted as related prob-
lems because, as Acharya and Richardson (2009) argue, nancial
98 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114

Table 7
Articles that compose the sample (continued).

Study Type Approach Object Scope Context Focus Period Data Method Results

Kalemli-Ozcan et al. (2013) 1B 2A 3E, 3G 4D 5C 6H 7D 8C, 8D 9A 10A

Kanno (2015b) 1B 2A 3C, 3E, 3G 4D 5C 6B 7C 8B, 8D 9A, 9C 10B
Kanno (2015a) 1B 2A 3G 4A 5A 6B 7B 8D 9C 10B
Kanno (2016) 1B 2A 3C, 3E, 3G 4D 5C 6D 7D 8B 9C 10A
Kara (2016) 1A 2A 3A, 3D 4B 5D 6B 7E 8F 9C 10B
Kerste et al. (2015) 1B 2A 3C, 3G 4A 5A 6C 7D 8A 9A 10A
Khashanah and Yang (2016) 1B 2A 3B 4A 5A 6C 7D 8A, 8D 9A, 9C 10B
King and Maier (2009) 1A 2B 3A 4E 5D 6E 7E 8F 9D 10B
Krainer (2012) 1A 2B 3A 4A 5A 6A 7E 8F 9D 10D
Kroeger (2015) 1A 2B 3A 4E 5D 6G 7E 8F 9D 10A
Kupiec (2016) 1C 2A 3A, 3C 4E 5D 6B 7E 8B 9C 10B
Kupiec and Gntay (2016) 1B 2A 3B, 3C 4A 5A 6B, 6C 7A 8A 9A, 9B 10D
Ladley (2013) 1B 2A 3A, 3E, 3G 4E 5D 6B 7E 8D 9B, 9C 10B
Lee et al. (2013) 1B 2A 3B, 3C, 3D 4A 5A 6B 7C 8A, 8C 9A 10D
Lee et al. (2016) 1B 2A 3C 4D 5C 6B, 6D 7D 8C, 8D 9A 10B
Lehar (2005) 1B 2A 3B, 3C, 3D 4D 5A 6B 7D 8A, 8B 9A, 9B, 9C 10A
Levy-Carciente et al. (2015) 1B 2A 3B, 3E 4A 5B 6B 7D 8D 9C 10C
Li et al. (2013) 1B 2A 3A, 3G 4A 5B 6B 7C 8A, 8C, 8D 9A 10A
Liang (2013) 1A 2B 3A 4A 5A 6A 7E 8F 9D 10B
Liang (2016) 1A 2B 3A 4A 5B 6B, 6I 7D 8D 9D 10B
Liao et al. (2015) 1B 2A 3A, 3B, 3C 4A 5A 6B 7C 8A, 8B 9A 10B
Liu et al. (2015) 1C 2A 3A 4A 5A 6D 7D 8D 9A, 9B, 9C 10B
Lombardi and Moschella (2016) 1A 2B 3A 4B 5A 6A 7E 8F 9D 10B
Lpez-Espinosa et al. (2013) 1B 2A 3A, 3D, 3E, 3I 4B 5A 6B 7C 8B 9A 10A
Lpez-Espinosa et al. (2015) 1B 2A 3B, 3G 4A 5A 6B 7D 8A, 8B 9A 10C
Lu and Hu (2014) 1A 2A 3F 4E 5D 6A 7E 8F 9A, 9C 10B
Lupu (2015) 1A 2B 3A, 3I 4B 5A 6G 7E 8F 9D 10B
MacDonald et al. (2015) 1B 2A 3B, 3E 4C 5A 6B, 6G, 6H 7C 8A, 8B 9A 10B
Madan and Schoutens (2013) 1B 2A 3H 4A 5A 6B, 6C, 6D 7B 8A 9A 10D
Marinc (2013) 1A 2B 3I 4B 5A 6B 7E 8F 9D 10A
Martnez and Len (2016) 1B 2A 3G 4A 5B 6B 7A 8B, 8D 9A 10B
Martinez-Jaramillo et al. (2010) 1B 2A 3E 4A 5B 6B 7A 8B, 8D 9A, 9B, 9C 10C
Martinez-Jaramillo et al. (2014) 1B 2A 3G 4A 5B 6B 7C 8D 9A 10C
Mastromatteo et al. (2012) 1A 2A 3G 4E 5D 6B 7E 8B 9C 10A
May (2013) 1A 2B 3G 4E 5D 6B 7E 8B, 8D 9C 10A
Mayordomo et al. (2014) 1B 2A 3F, 3G, 3I 4A 5A 6B 7C 8A, 8B 9A 10D
Mezei and Sarlin (2016) 1B 2A 3G 4B 5A 6A, 6H 7E 8F 9B, 9C 10B
Milne (2009) 1A 2C 3A 4B 5A 6A 7B 8A, 8D 9D 10B
Milne (2014) 1B 2A 3C 4D 5C 6B, 6D, 6F, 6I 7C 8A, 8B 9A 10C
Mhlnickel and Wei (2015) 1B 2A 3H, 3I 4D 5C 6B, 6D 7D 8A, 8B 9A 10B
Nier et al. (2007) 1A 2A 3D, 3E, 3G, 3H 4E 5D 6B 7E 8B, 8D 9B, 9C 10C
Nobi et al. (2014) 1B 2A 3B, 3G 4D 5C 6C 7D 8A 9A, 9C 10B
Oh et al. (2015) 1B 2A 3B 4B 5A 6C 7C 8A 9A 10A
Oort (1990) 1A 2B 3A 4E 5D 6B 7E 8F 9D 10B
Oosterloo and De Haan (2005) 1A 2D 3A 4D 5C 6A, 6B 7E 8F 9D 10B
Pagano and Sedunov (2016) 1B 2A 3C 4C 5A 6H 7C 8A, 8D 9A 10B
Paltalidis et al. (2015) 1B 2A 3E 4C 5A 6B, 6H 7C 8B, 8D 9C 10B
Papanikolaou and Wolff (2014) 1B 2A 3B, 3I 4A 5A 6B 7D 8A, 8B, 8C 9A 10A
Patro et al. (2013) 1B 2A 3B, 3C 4A 5A 6B, 6C 7D 8A 9A 10A
Petersen et al. (2011) 1A 2A 3I 4E 5D 6F, 6I 7E 8F 9C 10A
Piskorec et al. (2014) 1B 2A 3B 4D 5C 6A, 6C, 6I 7A 8A, 8E 9A 10A
Poledna et al. (2015) 1B 2A 3E 4A 5B 6B 7C 8D 9A, 9C 10A
Poon et al. (2003) 1C 2A 3I 4B 5A 6C 7D 8A 9A 10A

institutions were allowed to keep the securitized assets off-
balance-sheet to avoid needing to hold capital buffers to guarantee
them; in addition, they were able to hold a reduced amount of
capital against the AAA-rated tranches of the securitized mort-
gages remaining on the balance sheets, all of which led to risky
capital structures and an underassessment of credit risk, thereby
increasing systemic risk. In turn, Adrian and Shin (2009) study
the relationship between leverage and liquidity. For them, in an
environment where mark-to-market balance sheets are common,
adjustments in asset prices are immediately reected in changes to
net worth and lead institutions to adjust the size of their nancial
statements. Thus, they conclude that in a mark-to-market context,
leverage is pro-cyclical, which also enhances systemic risk.
Leverage increases the individual risk of banking rms, implying
higher vulnerability to nancial shocks (Papanikolaou and Wolff,
2014). Reversing the level of leverage, on the other hand, is bene-
cial to the health of banks individually but detrimental to nancial
stability. For these authors, banks that focus on traditional lines of
business are less risky than nancial institutions that trade modern
nancial instruments; additionally, the literature would identify
the high leverage of nancial institutions, on a global scale, as a
key factor in the severe structural weakness and the adverse mar-
ket dynamics during the pre-crisis period. For Papanikolaou and
Wolff (2014), regulatory changes and technological advances have
largely changed the banking system; in response, banks have aimed
to create new products and broaden their activities to areas of busi-
ness that were previously not explored (Papanikolaou and Wolff,
2014).
According to Anginer et al. (2014a), bank competition also
affects systemic risk in a robust negative relationship. Increased
competition encourages banks to diversify risk, indirectly making
the system less vulnerable to shocks. Banking systems are more
fragile in countries with weak private supervision and monitoring,
more state-owned banks, and policies that restrict competition.
 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114 99

Table 8
Articles that compose the sample (continued).

Study Type Approach Object Scope Context Focus Period Data Method Results

Pourkhanali et al. (2016) 1B 2A 3C, 3G 4D 5C 6B, 6D 7D 8A 9A 10B

Puliga et al. (2014) 1B 2A 3B, 3C 4B 5A 6B, 6F 7C 8A, 8D 9A, 9C 10A
Quax et al. (2013) 1B 2A 3B 4B 5A 6I 7D 8A 9A 10B
Reboredo and Ugolini (2015a) 1B 2A 3C 4C 5A 6H 7D 8A 9A 10C
Reboredo and Ugolini (2015b) 1B 2A 3C 4C 5B 6H 7B 8A 9A 10C
Rodrguez-Moreno and Pena (2013) 1B 2A 3B 4B 5A 6B, 6C, 6I 7C 8A, 8B 9A 10D
Rsch and Scheule (2016) 1B 2A 3B, 3C, 3H 4C 5C 6B 7D 8A, 8B 9A 10B
Roukny et al. (2013) 1B 2A 3D, 3E, 3G, 3I 4C 5A 6B 7D 8B, 8D 9A, 9B, 9C 10B
Saldas (2013) 1B 2A 3C, 3E, 3G 4C 5A 6B, 6C, 6D 7C 8A 9A 10A
Sandhu et al. (2016) 1C 2A 3B 4A 5A 6C 7D 8A 9C 10A
Sarlin and Peltonen (2013) 1B 2A 3I 4D 5C 6B, 6C, 6I 7C 8C, 8D 9A 10A
Schoenmaker and Siegmann (2014) 1B 2A 3A, 3I 4C 5A 6B 7A 8B, 8C 9C 10A
Schwaab et al. (2014) 1B 2A 3C, 3E 4D 5C 6B, 6C, 6D, 6G, 6I 7D 8A, 8C 9A, 9B 10A
Sedunov (2016) 1B 2A 3B 4A 5A 6B, 6D, 6I 7D 8A, 8B, 8D 9A 10D
Shiller et al. (2013) 1C 2A 3B 4E 5D 6F 7E 8F 9C 10B
Silva et al. (2016) 1B 2A 3D, 3E, 3G 4A 5B 6A 7B 8D 9C 10B
Simpson and Evans (2005) 1B 2A 3B, 3E, 3G 4B 5A 6B 7D 8A 9A 10A
Singh et al. (2015) 1B 2A 3C 4C 5A 6B 7C 8A 9C 10B
Solorzano-Margain et al. (2013) 1B 2A 3E, 3G 4A 5B 6B, 6I 7D 8A, 8C, 8D 9A 10C
Souza et al. (2015) 1B 2A 3C, 3E 4A 5B 6B 7D 8D 9C 10B
Souza (2016) 1B 2A 3A, 3D 4D 5B 6A 7B 8D 9C 10C
Souza et al. (2016) 1B 2A 3C, 3E, 3G 4B 5B 6B 7B 8D 9C 10C
Stein (2011) 1C 2A 3A, 3I 4A 5A 6B, 6F, 6G 7D 8B, 8D 9A, 9C 10A
Stolbov (2016) 1B 2A 3C 4A 5B 6H 7B 8A 9A 10C
Straetmans and Chaudhry (2015) 1B 2A 3E 4B 5A 6B 7D 8A 9A 10D
Suh (2012) 1B 2A 3C 4A 5A 6B, 6D, 6I 7D 8A 9A 10C
Summer (2003) 1A 2D 3A 4E 5D 6B 7E 8F 9D 10B
Summer (2013) 1A 2D 3E, 3G 4B 5C 6B 7E 8B 9D 10D
Tabak and Staub (2007) 1B 2A 3B, 3I 4A 5B 6B 7B 8A, 8C 9A, 9C 10C
Terzi and Ulucay (2011) 1A 2B 3C 4E 5D 6I 7C 8D 9D 10B
Tian et al. (2015) 1B 2A 3C 4A 5B 6B, 6I 7C 8B, 8C 9C 10A
Tsenova (2014) 1C 2A 3A, 3D, 3I 4A 5B 6B 7A 8B, 8C, 8D 9B, 9C 10C
Uechi et al. (2015) 1B 2A 3I 4B 5A 6C 7D 8A 9A 10A
Upper (2011) 1A 2A 3E, 3G 4B 5C 6B 7E 8B, 8D 9C 10D
Vallascas and Keasey (2012) 1B 2A 3A, 3E, 3F, 3I 4B 5A 6B, 6H 7D 8A, 8B, 8C 9A 10B
van Bekkum (2016) 1B 2A 3B, 3C 4A 5A 6B, 6H 7A 8A 9A 10B
van den End (2009) 1B 2A 3D 4A 5A 6B 7A 8D 9A, 9B 10B
van den End and Tabbae (2012) 1B 2A 3D, 3E 4A 5A 6B 7C 8B 9A 10B
Vitali et al. (2016) 1C 2A 3C, 3E, 3G 4E 5D 6B 7E 8E 9B, 9C 10B
Vlahovic (2014) 1A 2D 3A 4C 5C 6A 7E 8F 9D 10D
Vodenska et al. (2016) 1B 2A 3B 4D 5C 6C, 6I 7D 8A 9A, 9C 10B
Walter (2009) 1A 2B 3A, 3F, 3I 4D 5C 6B, 6D, 6I 7D 8D 9D 10B
Walter (2012) 1A 2B 3A, 3I 4B 5A 6B, 6E, 6I 7E 8F 9D 10B
Weiss and Mhlnickel (2014) 1B 2A 3F, 3I 4A 5A 6D 7B 8B 9A 10C
Weiss et al. (2014) 1B 2A 3H 4D 5C 6B 7D 8A, 8B, 8C, 8D 9A 10A
Wilson et al. (2010) 1A 2D 3D, 3H, 3I 4E 5D 6B 7E 8F 9D 10D
Wymeersch (2010) 1A 2B 3A 4C 5A 6A, 6I 7B 8F 9D 10B
Xie et al. (2016) 1B 2A 3E, 3G 4A 5B 6B 7C 8B 9C 10B
Yao et al. (2015) 1B 2A 3E, 3I 4A 5B 6B 7A 8B 9C 10B
Yaqoob and Khan (2011) 1A 2D 3A 4E 5D 6A 7E 8F 9D 10B
Zheng et al. (2012) 1B 2A 3B, 3I 4A 5A 6C 7D 8A 9A 10B
Zhou (2013) 1A 2A 3A, 3G, 3I 4E 5D 6B 7E 8D 9A 10A
Zhu et al. (2012) 1B 2A 3B, 3I 4A 5B 6A, 6G 7C 8A, 8C, 8D 9A 10B
Zigraiova and Jakubik (2015) 1B 2A 3B 4B 5C 6G, 6H 7D 8A, 8C 9A 10B

These researchers conclude that the negative effect of the lack
of competition may be mitigated by an institutional environment
that enables efcient public and private monitoring (Anginer et al.,
2014a). Consistent with this nding, Cubillas and Gonzlez (2014)
states that nancial liberalization increases bank risk taking. In
developed countries, strong competition among banks increases
risk taking, whereas in developing countries, new opportunities to
take risks drive risk-taking behavior.
Ghosh (2016) examines the impact of nancial services liber-
alization on banking crises and nds that greater banking sector
globalization diminishes their occurrence, while bank asset con-
centration increases their likelihood. The results of the study show
that foreign bank presence implies stronger nancial stability in the
nancial system of host nations. This is coherent with Nicol and
Juvenal (2014), who analyze the relevance of measures of nancial
integration and globalization for real activity.
Exploring another aspect, Glasserman and Young (2014) con-
sider the interconnectivity of the modern nancial system as a key
factor in understanding the recent nancial crisis: Due to the com-
plex network of connections among nancial organizations, critical
changes in a part of the system can affect others, representing a
threat to the nancial instability of the entire system. According to
these authors, examples include the effects of the Lehman Brothers
bankruptcy, the failure of AIG, and the exposure of European banks
to sovereign default risks.
Regarding the systemic importance of institutions, there is a
rich literature that analyses the impact of size, complexity, and
interconnectivity, in particular on banks, for the composition of
systemic risk. For Arinaminpathy et al. (2012), large and well-
connected banks are critical for nancial stability since collapses
are not only large and widespread but also threaten trust in the mar-
ket. Therefore, placing tougher capital requirements on big banks
100 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114
can improve the resilience of the system. Furthermore, these effects
would be more pronounced in less diluted systems (Arinaminpathy
et al., 2012).
Systemically Important Financial Institutions (SIFIs) are dened
by Banulescu and Dumitrescu (2014) as institutions whose chaotic
failure due to their size, complexity, and interconnectivity would
signicantly disrupt the nancial system, harming economic activ-
ity. The Basel Committee on Banking Supervision classies useful
factors for determining whether a bank is systemically relevant and
the exact factors of systemically fundamental global banks (G-SIBs).
In addition to the three factors noted above and their global activ-
ity (cross-jurisdiction), the Basel Committee includes banks in this
category if there are no readily available substitutes for the nan-
cial infrastructure that they provide (Banulescu and Dumitrescu,
2014).
Another concept, Too Big To Fail institutions (TBTF), has
become an important public policy debate and, according to
Kaufman (2014), has not been concluded due to disagreements
about denitions. In banking, denitions vary widely and differ
according to which counterparties of insolvent covered rms may need
to be protected to minimize collateral damage, caused directly or indi-
rectly by the failure, which third parties fund the protection, and for
what reason (Kaufman, 2014, p. 221).
4.3. Measuring systemic risk
Even without a precise denition, because it is a eld of study in
development, there are several elements that are present in the var-
ious denitions that complement each other and make it possible to
understand what systemic risk is. However, how can systemic risk
be measured? Once there are different starting points for systemic
shocks, distinct approaches to dening and measuring systemic
risks are necessary (Abdymomunov, 2013).
According to Danelsson (2002), a growing body of evidence
exposes the limitations of risk-modelling technology and imperfect
regulatory structures; these models therefore act more as placebos
than as a scientic means of preventing crashes. For this author,
market data are endogenous to market behavior, and statistical
analysis performed during times of stability would not be useful in
times of crisis. Danelsson (2002) views Value-at-Risk (VaR) mod-
elling as not robust and excessively volatile. Moreover, he states
that, for regulatory use, this type of analysis may provide mislead-
ing information about risk and even increase both idiosyncratic
and systemic risk, imposing costs on nancial institutions arising
from inadequacy in the allocation of capital and frequent portfolio
rebalancing (Danelsson, 2002).
In the view of Huang et al. (2009), traditional regulatory meas-
ures have focused on information from bank balance sheets, such as
the proportion of non-performing loans, protability, liquidity, and
capital adequacy ratios. However, because the balance information
is available only a few times during the year, with considerable
lag, it is increasingly relevant to monitor the health of the nancial
system taking into account data from the markets (Huang et al.,
2009).
The joint 2009 report by the IMF, Bank for International
Settlements (BIS), and Financial Stability Board (FSB) proposes
indicators for size, interconnectedness, and substitutability to mea-
sure the systemic importance of an enterprise (IMF-BIS-FSB, 2009).
Thomson (2009) proposes the four Cs (Contagion, Concentration,
Correlation, and Conditions) as criteria for determining the sys-
temic importance of a rm.
Regulators generally focus on indicators related to the nan-
cial health of banks, such as balance sheets and liquidity indicators.
There are still many indices of more comprehensive nancial con-
ditions, typically constructed using a weighted sum of indicators
or a principal components method, for example, Bloomberg FCI,
Goldman FCI, and the Kansas Fed Financial Stress Index.
The European Central Bank publishes the Composite Indicator
of Systemic Stress (CISS), which uses both market and super-
vision data. According to Holl et al. (2012), systemic nancial
stress occurs when market participants experience great uncer-
tainty and change their expectations on future losses, asset values,
and economic activity. Because these stress measures depend on
the selection of criteria and the use of nancial variables, their
performance is sensitive to their causes. The CISS aggregates ve
sub-indices that represent the most important segments of the
nancial system namely, the banking and non-banking interme-
diaries sector, the money market, and the stock, securities, and
currencies markets taking into account the cross-correlations
between sub-indices over time. The CISS places relatively more
weight on scenarios where stress affects many markets simulta-
neously and is therefore more systemic (Holl et al., 2012).
Many other forms of systemic risk measurement are found in
the literature. Bisias et al. (2012) designate 31 quantitative meas-
ures of systemic risk; Segoviano and Goodhart (2009) make use
of the multivariate density of the adjusted portfolio tail nancial
sector companies; Khandani and Lo (2008) and Hu et al. (2013),
by their turn, use liquidity measures; Kritzman and Li (2010) and
Li et al. (2013) use the Mahalanobis distance metric; Adrian and
Brunnermeier (2010) measure the Value-at-Risk (VaR) of the nan-
cial sector, with a conditional analysis of the VaR of a single bank
using quantile regressions; Kritzman et al. (2011) use the absorp-
tion ratio; Zheng et al. (2012) use the growth rate of the principal
components of the correlation matrix of assets returns; and Patro
et al. (2013) use the correlations of stocks returns of nancial insti-
tutions as a systemic risk indicator.
Several authors, such as Patro et al. (2013) and Kritzman et al.
(2011), seek information only on asset prices to assess systemic
risk. These prices have the advantage of being easily accessible
compared to others related to the balance sheets and nancial indi-
cators of companies. In addition, the information reected in asset
prices is always forward looking. According to Patro et al. (2013), if
the primary purpose is to monitor the ongoing systemic risk level
to preclude systemic losses, then analyzing early warning metrics
such as stock prices can convey relevant information.
For Gropp et al. (2002), assets issued by banks are especially
useful to monitor since the market prices of securities can impact
the funding cost of banks. The market can play a particularly useful
role in disciplining the risk of large, complex, and international-
ized organizations. Market information can be followed up at a very
high frequency and can complement traditional balance sheet data
when checking for possible bank weaknesses. Therefore, market
information can provide early signs for banks that must be better
scrutinized.
According to Rodrguez-Moreno and Pena (2013), periods of
general turmoil in the nancial system can have multiple causes,
and therefore, a single systemic risk measure may be neither
appropriate nor desirable. Ellis et al. (2014a) follow this same
line; for them, diversity within the nancial system also supports
the fact that it is unlikely that a single systemic risk measure or
a single nancial stability policy instrument can be universally
applicable.
5. Results of the literature analysis
The results of classication according to items 1 and 2 are sum-
marized in Table 9, which shows the predominance of empirical
studies and the massive presence of studies with a quantitative
approach. There are only a total of eight survey-type studies (ques-
tionnaires) and literature reviews.
 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114 101

Table 9
Classication according to items 1 and 2.

Study type Type of approach Number of articles

Theoretical. Quantitative 29
Theoretical. Qualitative 35
Theoretical. Mixed 4
Theoretical. Survey/review 8
Empirical. Quantitative 167
Theoretical and empirical. Quantitative 22
Theoretical and empirical. Mixed 1

The results for each category analyzed are presented next.

Object: Table 10 shows the classication of the sample accord-

ing to item 3 (Object of Study). The most relevant object(s) of
each article were isolated. Only one object was assigned to 103
articles, two objects to 96 articles, three objects to 57 arti-
cles, and 10 objects to only nine articles. There were a large
number of articles that address aspects of regulation, which is Fig. 3. Scope of the articles.
not surprising, given the nature of the subject and the search
criteria, which also used the expression nancial stability.
ratios, regulation credibility, regulatory ratio, accountability,
The objects market risk, credit risk together with default,
deposit insurance, mark-to-market, and funding.
counterparty and sovereign risks, contagion and intercon- Scope: This item is summarized in the graph below (Fig. 3). Note
nectivity/interdependence were also numerically noteworthy.
that studies related to only one country are greater in number.
A total of 33 articles simultaneously addressed contagion and
Blocks and regions have been less studied.
interconnectivity/interdependence, which indicates a strong Context: This item is summarized in the graph below (Fig. 4).
link between these objects. The item regarding the size of the
The great predominance of research on developed countries
institutions appeared with a lower weight. The lower frequency
is observed; this nding is to be expected, given the high
of the concept of too big to fail, compared to the concept of
concentration of researchers in these countries. Despite the
too interconnected to fail reveals the greater weight given
greater systemic importance of nancial institutions in devel-
by researchers to the latter as a systemic risk factor. The item
oped countries, instabilities in the nancial systems of emerging
concentration and the related items diversication and com-
countries also have an important impact, not only in their own
petition were addressed in only 19 articles and may deserve
economies and markets but also internationally. This fact reveals
greater attention from researchers in future studies.
an opportunity to perform a larger number of studies that address
The item Others includes topics such as leverage/derivatives
countries that are considered undeveloped.
(addressed in 10 articles); securitization and prolifera- Focus: The various focuses of the articles (item 6) and their fre-
tion/complexity of nancial instruments (six articles); bank
quency are shown in Fig. 5. A total of 33 articles addressed the
governance, including executive compensation and performance
nancial system and nancial institutions in a generic manner. In
strategies (ve articles); conglomeration/consolidation (ve
general, studies in this classication discussed aspects of regula-
articles); condence/sentiment (ve articles); monetary policy
tion or were theoretical articles, even if they had a quantitative
(ve articles); mark-to-market/valuation (three articles); dere-
approach. Of those that focused only on specic institutions, 165
gulation (two articles); international nancial integration (three
articles analyzed only one type of institution/market segment,
articles); and modelling risk (three articles); in addition, further
topics include bubbles, market efciency, complexity, taxation,
corporate governance, overlapping portfolios, prepayment risk,
bank liquidity creation, shadow banking, and the impact of
information technology (IT), among others.
It is important to note that the object regulation encom-
passed a range of issues related to the actions of regulatory bodies
and supervisory practices, including the following: actions by
central banks, central bank transparency, Basel Accords, coordi-
nation mechanisms, capital allocation, limits to the performance
of nancial institutions, NSFR (Net Stable Funding Ratio), debt

Table 10
Classication according to item 3.

Object Number of articles

Regulation. 71
Market risk. 53
Credit risk/default/counterparty/sovereign. 46
Liquidity risk. 23
Contagion. 55
Size of institutions. 14
Interconnectivity/interdependence. 54
Concentration/diversication/competition. 15
Others. 56
Fig. 4. Context of the articles.
102 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114

Fig. 5. Focus of the articles.

while 68 analyzed more than one type. Banks were prominent

and were studied in 174 of the 266 articles. The stock market
was also the focus of study in 44 articles. A total of 31 articles
focused on a particular country. The impact of systemic nancial
risk on non-nancial institutions (or vice versa) was studied in 29
articles, generally in conjunction with the nancial institutions
themselves. Next were the insurers, which were studied in 27
articles. These were followed by mortgages/real estate markets,
which were analyzed in 11 articles, and investment funds/hedge
funds in six articles. The item Others included the remaining
institutions, such as exchange brokers, money market, clearing
houses, and credit card companies. Although the emphasis on
banks is understandable given the impact that they have on sys-
temic nancial risk, there may also be opportunities for greater
diversication so that other types of institutions are addressed.
There is room for a greater number of articles that focus on
investment funds and mortgages given the importance that they
have for systemic stability. It is important to remember that it was
the bursting of the mortgage bubble that precipitated the nan-
cial crisis of 2007. Articles that analyze risk from the perspective Fig. 6. Period studied in the articles.
of countries totaled 31, including those that analyze banks and
other institutions using a cross-country approach, i.e., a compar- Table 11
ison of the events in each country. Articles that study sovereign Classication according to item 8.
risk numbered only 11, suggesting a large research gap in the
Type of data Articles one type Articles multiple types
literature sample given that problems related to sovereign debt
signicantly affect nancial stability. An example is the recent From market. 46 50
From balance sheet. 14 46
events related to sovereign debt in the eurozone and their strong
Macroeconomic. 34
impact on regional and global economic and nancial stability. From regulators. 31 44
Period studied: Item 7 (period studied) is shown in the graph Not applicable. 35
below (Fig. 6). It is notable that the researchers chose to study
longer periods, with 152 studying ve years or more and only 16
Table 12
studying less than two years. A longer perspective for theoretical Classication according to item 9.
studies may be necessary to compare consecutive crisis periods
and periods of stability. Methods used Number of articles
Types of data analyzed: Item 8 (types of data analyzed) is summa- Econometric/Statistical/Multivariate Analysis. 134
rized in Table 11, which shows that market and regulator data Computational/Simulation. 1
Mathematical Modelling. 40
prevail when the articles use only one type of data; however,
Econom./Stat./ Multivariate An. & 9
there is greater balance when data types are used in combination, Comput./Simulation
with less emphasis on macroeconomic data. Econom./Stat./ Multivariate An. & Mathematical 22
Methods used: Item 9 (methods used) is summarized in Table 12. Model.
Emphasis is given to econometric, statistical, and multivariate Comput./Simulation & Mathematical Model. 15
Econom./Stat./ Multivariate An. & 5
analytical methods, which were used in 170 articles (alone or
Comput./Simulation & Mathematical Model.
in conjunction with other types of methods considered). It can Not applicable. 40
be observed that other methods have been used much less
 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114 103

frequently, particularly simulation methods, which were used in contexts are dominant. Comparative studies in which two or
only 30 articles and often in conjunction with other methods. more other studies and/or methods are compared are fewer.
A variety of methods were used. Emphasis was given to the fol-
lowing: regression including multiple, quantile, logit, and probit In general, when analyzing the results of classication of the
regressions (60 articles); network models, considered in the literature on systemic nancial risk, some aspects may be high-
item mathematical modelling (34 articles); correlation analy- lighted that reveal gaps and opportunities for future studies. There
sis (13 articles); extreme value theory (EVT) (12 articles); factor seem to be relatively few studies that involve bank concentration
models (principal component analysis (PCA), discriminant and and its impact on systemic nancial risk. The same can be said for
cluster analyses) (12 articles); GARCH models (15 articles); vector emerging markets. It is also noted that the literature on the subject
autoregression (VAR) (11 articles); Shapley value (ve articles); is focused on banking institutions, which is easy to understand,
Monte Carlo simulation (four articles); copulas (ve articles); given the nature of the subject; however, this nding may also
consistent information multivariate density optimizing (CIMDO) reveal an opportunity for further studies of other types of nancial
(3 articles); vector error correction (3 articles); agent-based mod- institutions and their relationship with systemic risk.
els (two articles); entropy models (two articles); group debt rank Diverse methods are used; however, studies using computer
(GDR) (two articles); and the Jaccard index matrix (3 articles), simulations are far fewer compared to studies using economet-
among others. ric methods or other statistical techniques or multivariate analysis.
Other models were also used, including from other elds of Some works compare estimates of two or more systemic risk meas-
study; the Kalman lter, game theory, particle physics, Ricci ures (Li et al., 2013; Madan and Schoutens, 2013; Mayordomo et al.,
curvature, partial equilibrium models, catalytic reaction mod- 2014; Weiss and Mhlnickel, 2014). Kupiec and Gntay (2016),
els, epidemic model, stochastic optimal control, message-passing
algorithms, asymmetric dynamic covariance (ADC) models, the
self-organizing nancial stability map (SOFSM), the support vec-
tor machine (SVM), and random matrix theory. Some auxiliary
models used included the Merton credit risk model (nine arti-
cles); Kealhofer, McQuown, and Vasicek model (KMV); distance
to default; and portfolio analysis, among others.
The systemic risk measures used included: Conditional Value-
at-Risk (CoVaR), proposed by Adrian and Brunnermeier (2010),
used or discussed in 23 articles; Marginal Expected Shortfall
(MES), proposed by Brownlees and Engle (2010), used or dis-
cussed in 12 articles; Credit Default Swap (CDS) spreads (10
articles); VaR including quantile VaR, component VaR, incre-
mental VaR, and systemic VaR (ve articles); coherent measures
(3 articles); and tail dependence (3 articles). The following meas-
ures were also found: the Lerner index, Catastrophic risk in the
Financial sector (CATFIN), Collateralized Debt Obligations (CDOs),
tail beta, nancial index stress, LIBOR spreads, volatility, Volatil-
ity of Volatility (VoV), the contagion index for each node (on
a network), balance sheet ratios, the measure of joint default,
the house price index, the China Financial Stress Index (CFSI),
the News Cohesiveness Index (NCI), the number of bank failures,
the Degree of Total Leverage (DTL), the Information Dissipation
Length (IDL), the systemic risk index based on the value of assets
(SIV), Loss Given Default (LGD), the Distress Insurance Premium
(DIP) (2 articles), the Joint Probability of Default (JPoD), the Sec-
tor Diversity Index (SDI), the Correlation Response Index (CRI),
the Implied Systemic Cost of Risk (I-SCOR), Credit Risk Devia-
tion (CRD), extreme downside risk, the sector dominance ratio,
expected systemic losses, Hirsch index, absorption ratio and the
systemic importance score, among others.
Several articles analyzed the contribution of individual insti-
tutions to systemic risk, and some proposed stress tests for
institutions. However, it is remarkable that in the literature, no
article proposed using the systemic risk indices built for stress
tests in asset portfolios.
Results: Item 10 (Results) is presented in Table 13. Articles
strongly based on the literature or that replicate studies in other

Table 13
Classication according to item 10.

Results Number of articles

New perspectives. 75
Consistent with previously published literature. 127
Replication to a different context or period. 40
Comparative study. 24
Fig. 7. Network of links (General).
104 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114
using daily stock returns, dene a statistic to evaluate systemic risk
using CoVaR and MES. Given the profusion of systemic risk meas-
ures in the literature in recent years, there is still a large amount of
room for conducting studies that compare the effectiveness of the
indicators and methods proposed in the studies.
To supplement the results presented above, an analysis of the
citations of each article in the sample was performed to iden-
tify the mainstream in systemic nancial risk research, i.e., the
major research networks and the evolution of the discussion on
systemic nancial risk over time. Thus, within the initial sample,
relationships between articles were sought by analyzing the cita-
tions between these articles and the other studies that they cited.
It was possible to conrm that a large number of important articles
were not included in the sample, the composition criteria of which
was explained at the beginning of Section 4. Thus, when analyzing
this new set of articles, the papers already cited and those that cited
them were identied. More specically, articles not cited by other
articles in the sample itself were excluded, and the articles not yet
present in the sample and that had at least ve citations in Scopus
Fig. 8. Network links.
and Web of Knowledge were included. After this round of recording
the citations of the selected manuscripts, the articles cited at least
four times by their listed peers and those that were still not on the
list were included, proceeding again to the scrutiny of the bibliogra-
phies. In a nal round of renement, articles that were cited by at
least seven listed articles and that were not yet on the list were
included. The reference lists of articles from 2015 and 2016 that
were available for download on Scopus and Web of Science were
also reviewed. A nal round of analysis of the articles that were
cited eight or more times was performed. Some articles from 2012
onwards were included even without reaching the total of eight
citations because the period in which they had to be cited was
relatively smaller. Ultimately, the references of 398 articles were
analyzed, and citations were checked for a total of 3925 articles.
This process made it possible to measure the importance of each
article not only by the number of easily veriable citations but also
by the references of the researchers in the area. It also made it
possible to construct the citation networks. Thus, maintaining the
criterion of a minimum number of citations between pairs of the list
Fig. 9. Main and secondary networks.
 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114 105

Table 14
Articles considered in the research on systemic nancial risk.

N. Reference Articles title

1 Kindleberger and Aliber (1978) Manias, panics and crashes: a history of nancial crises.
2 Bryant (1980) A model of reserves, bank runs and deposit insurance.
3 Stiglitz and Weiss (1981) Credit rationing in markets with imperfect information.
4 Bernanke (1983) Non-monetary effects of the nancial crisis in the propagation of the great depression.
5 Diamond and Dybvig (1983) Bank runs, deposit insurance and liquidity.
6 Diamond (1984) Financial intermediation and delegated monitoring.
7 Bhattacharya and Gale (1987) Preference shocks, liquidity and central bank policy.
8 Gorton (1988) Banking panics and business cycles.
9 Bernanke and Gertler (1989) Agency costs, net worth and business uctuations.
10 Calomiris and Gorton (1991) The origins of banking panics: models, facts, and bank regulation.
11 Calomiris and Kahn (1991) The role of demandable debt in structuring optimal banking arrangements.
12 Shleifer and Vishny (1992) Liquidation values and debt capacity: a market equilibrium approach.
13 Kaufman (1994) Bank contagion: a review of the theory and evidence.
14 Rochet and Tirole (1996) Interbank lending and systemic risk.
15 Calomiris and Mason (1997) Contagion and bank failures during the Great Depression: the June 1932 Chicago banking panic.
16 Holmstrom and Tirole (1997) Financial intermediation, loanable funds, and the real sector.
17 Allen and Gale (1998) Optimal nancial crisis.
18 Freixas and Parigi (1998) Contagion and efciency in gross and net interbank payments system.
19 Holmstrm and Tirole (1998) Private and public supply of liquidity.
20 Sheldon and Maurer (1998) Interbank lending and systemic risk: an empirical analysis for Switzerland.
21 Diamond and Rajan (1999) Liquidity risk, liquidity creation, and nancial fragility.
22 Kaminsky and Reinhart (1999) The twin crises: the causes of banking and balance of payments problems.
23 Allen and Gale (2000b) Bubbles and crises.
24 Allen and Gale (2000a) Financial contagion.
25 De-Bandt and Hartmann (2000) Systemic risk: a survey.
26 Freixas et al. (2000) Systemic risk, interbank relations, and liquidity provision by the central bank.
27 Acharya (2001) A theory of systemic risk and design of prudential regulation.
28 Borio et al. (2001) Procyclicality of the nancial system and nancial stability.
29 Borio et al. (2002) Asset prices, nancial and monetary stability.
30 De Nicolo and Kwast (2002) Systemic risk and nancial consolidation, are they related?
31 Borio (2003) Towards a macroprudencial framework for nancial supervision and regulation?
32 Furne (2003) Interbank exposures: quantifying the risk of contagion.
33 Upper and Worms (2004) Estimating bilateral exposures in the German interbank market: is there a danger of contagion?
34 Wells (2004) Financial interlinkages in the United Kingdoms interbank market and the risk of contagion.
35 Cifuentes et al. (2005) Liquidity risk and contagion.
36 Diamond and Rajan (2005) Liquidity shortages and banking crises.
37 Lehar (2005) Measuring systemic risk: a risk management approach.
38 Leitner (2005) Financial networks: contagion, commitment, and private sector bailouts.
39 Mistrulli (2005) Interbank lending patterns and nancial contagion.
40 Elsinger et al. (2006) Risk assessment for banking systems.
41 Allen and Gale (2007) Understanding nancial crises.
42 Degryse and Nguyen (2007) Interbank exposures: an empirical examination of contagion risk in the Belgian banking system.
43 Mistrulli (2007) Assessing nancial contagion in the interbank market: maximum entropy versus observed
interbank leading patterns.
44 Nier et al. (2007) Network models and nancial stability.
45 Upper (2007) Using counterfactual simulations to assess the danger of contagion in interbank markets.
46 Adrian and Shin (2009) Liquidity and leverage.
47 Battiston et al. (2009) Liasons dangereuses: increasing connectivity, risk sharing, and systemic risk.
48 Segoviano and Goodhart (2009) Banking stability measures.
49 Allen and Babus (2009) Networks in nance.
50 Brunnermeier (2009) Deciphering the liquidity and credit crunch 20072008.
51 Brunnermeier and Pedersen (2009) Market liquidity and funding liquidity.

of 398 scrutinized papers, the nal list of 132 articles was reached;
an additional 18 articles were removed for demonstrating reduced
importance in relation to the other articles in the rst construction
of the gures (point vertices), as described below. The 102 articles
are listed in Tables 14 and 15; they are numbered according to the
chronological order of publication. This selection criterion enabled
the list of studies to be representative but not so extensive as to
make it difcult to analyze the data and/or dilute the reference
character of the articles.
The list of items and the table of articles cited versus the respec-
tive articles that cite them served as inputs to the free software
Pajek. Chronological ordering is required to use the software, which
also requires that the generated network of citations be acyclic; i.e.,
reciprocal citations or citations in a closed chain are not allowed for
the construction of gures (Figs. 9 and 10). Figures built with the
help of this software are shown below. For details on Pajek, see
Mrvar and Batagelj (2014) and DeNooy et al. (2005). Fig. 7 presents
the network of citations of the articles.
Fig. 8 shows the most cited articles between the pairs in the list,
which correspond to the major vertices. In addition, the articles are
divided into two research networks, purple (main) and blue (sec-
ondary). Darker lines represent a greater link between the research
studies.
In Fig. 9, these networks are separated.
Fig. 10 provides a view of the importance of each study within
the eld of research on systemic nancial risk.
Fig. 11 shows the evolutionary path of the main research net-
work.
5.1. Analysis of the main research path
Table 16 lists the articles that compose the main research path,
as viewed by the researchers in the area, a result found according
to the method described above.
Table 17 shows a classication that allows aspects of the studied
articles to be compared.
106 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114

Table 15
Articles considered in the research on systemic nancial risk (continued).

N. Reference Articles title

52 Brunnermeier et al. (2009) The fundamental principles of nancial regulation.

53 Haldane (2009) Rethinking the nancial network.
54 Acharya et al. (2010) Measuring systemic risk.
55 Adrian and Brunnermeier (2010) CoVaR.
56 Brownlees and Engle (2010) Volatility, correlation and tails for systemic risk measurement.
57 Craig and von Peter (2010) Interbank tiering and money center banks.
58 Gai and Kapadia (2010) Contagion in nancial networks.
59 May and Arinaminpathy (2009) Systemic risk: the dynamics of model banking systems.
60 Tarashev et al. (2010) Attributing systemic risk to individual institutions.
61 Zhou (2010) Are banks too big to fail? Measuring systemic importance of nancial institutions.
62 Brunnermeier et al. (2011) Banks noninterest income and systemic risk.
63 Drehmann and Tarashev (2011) Systemic importance: some simple indicators.
64 Gai et al. (2011) Complexity, concentration and contagion.
65 Haldane and May (2011) Systemic risk in banking ecosystems.
66 Huang et al. (2011) Systemic risk contributions.
67 Mistrulli (2011) Assessing nancial contagion in the interbank market: maximum entropy versus observed
interbank lending patterns.
68 Upper (2011) Simulation methods to assess the danger of contagion in interbank markets.
69 Acharya et al. (2012) Capital shortfall: a new approach to ranking and regulating systemic risks.
70 Arinaminpathy et al. (2012) Size and complexity in model nancial systems.
71 Billio et al. (2012) Econometric measures of connectedness and systemic risk in the nance and insurance sectors.
72 Bisias et al. (2012) A survey of systemic risk analytics.
73 Caccioli et al. (2012) Heterogeneity, correlation and nancial contagion.
74 Cont et al. (2012) Network structure and systemic risk in banking systems.
75 Fricke and Lux (2014) Coreperiphery structure in the overnight money market: evidence from the eMID trading
platform.
76 Gauthier et al. (2012) Macroprudential capital requirementes and systemic risk.
77 van Lelyveld and int Veld (2012) Finding the core: network structure in interbank markets.
78 Zheng et al. (2012) Changes in cross-correlations as an indicator for systemic risk.
79 Battiston et al. (2012a) Default cascades: When does risk diversication increase stability?
80 Battiston et al. (2012b) DebtRank: too central too fail? Financial networks, the FED and systemic risk.
81 Huang et al. (2012a) Assessing the systemic risk of a heterogeneous portfolio of banks during the recent nancial crisis.
82 Acemoglu et al. (2013) Systemic risk and stability in nancial networks.
83 Girardi and Ergun (2013) Systemic risk measurement: multivariate Garch estimation of CoVaR.
84 Huang et al. (2013) Cascading Failures in Bi-partite Graphs: model for systemic risk propagation.
85 Rodrguez-Moreno and Pena (2013) Systemic risk measures: the simpler the better?
86 Roukny et al. (2013) Default cascades in complex networks: topology and systemic risk.
87 Bargigli et al. (2014) The multiplex structure of interbank networks.
88 Bernal et al. (2014) Assessing the contribution of banks, insurance and other nancial services to systemic risk.
89 Diebold and Yilmaz (2014) On the network topology of variance decompositions: measuring the connectedness of nancial
rms.
90 Elliott et al. (2014) Financial networks and contagion.
91 Glasserman and Young (2014) How likely is contagion in nancial networks?
92 Langeld et al. (2014) Mapping the UK interbank system.
93 Martinez-Jaramillo et al. (2014) An empirical study of the Mexican banking systems network and its implications for systemic risk.
94 Chinazzi and Fagiolo (2015) Systemic risk, contagion and nancial networks: a survey.
95 Hautsch et al. (2015) Financial network systemic risk contributions.
96 Civitarese (2016) Volatility and correlation-based systemic risk measures in the US market.
97 Fink et al. (2016) The credit quality channel: modeling contagion in the interbank market.
98 Hrdle et al. (2016) TENET: Tail-Event driven NETwork risk.
99 He and Chen (2016) Credit networks and systemic risk of Chinese local nancing platforms: Too central or too big to
fail?
100 Huang et al. (2016) A nancial network perspective of nancial institutions systemic risk contributions.
101 Sandhu et al. (2016) Ricci curvature: an economic indicator for market fragility and systemic risk.
102 Souza et al. (2016) Evaluating systemic risk using bank default probabilities in nancial networks.

The oldest articles in this sample of 27 articles date from the
1970s to 1980s, and they mainly address bank runs and panics and
related subjects, such as liquidity problems. From there, other strik-
ing elements of nancial stability begin to be incorporated, and the
articles begin to focus on methods of measuring systemic nancial
risk. Starting in 2000, the vast majority of the articles address some
method of measuring systemic risk.
Interestingly, eight articles (see Table 17) study the systemic
importance or the systemic risk attributed to a specic institu-
tion. From this similarity, each article opts for a method to make
attributions to institutions in terms of their weight in the risk to
the system. The measures and methods that are used for this pur-
pose are varied. Seven articles propose aggregate risk indicators
for the nancial system as a whole. It is important to note that only
Elsinger et al. (2005) use stress tests. The focus of these articles is
mostly banks three papers classied as reviews are more generic
in this regard. No article analyzes emerging markets. Two articles
analyze global data, nine articles use data from the United States,
and ve articles analyze data from European countries. Regarding
the study period, Calomiris and Gorton (1991) review bank pan-
ics that have occurred since the nineteenth century, and Allen and
Gale (2007) analyze nancial crises that have occurred since the
nineteenth century. Of the other studies, three focus only on the
pre-2008 crisis period, and ten analyze data that include the 2008
crisis.
Fifteen articles can be classied as theoretical and one is both
theoretical and empirical. Three of these are classied as reviews
or comparative analyses, four are analytical, six use mathematical
models, one involves mathematical and network modelling, one
involves statistical and mathematical modelling, and one involves
 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114 107

Table 16
Reference articles in the research on systemic nancial risk (Main network).

N. Reference Articles title

1 Diamond and Dybvig (1983) Bank runs, deposit insurance and liquidity.
2 Diamond (1984) Financial intermediation and delegated monitoring.
3 Calomiris and Kahn (1991) The role of demandable debt in structuring optimal banking arrangements.
4 Calomiris and Gorton (1991) The origins of banking panics: models, facts, and bank regulation.
5 Allen and Gale (1998) Optimal nancial crisis.
6 Allen and Gale (2000a) Financial contagion.
7 Freixas et al. (2000) Systemic risk, interbank relations, and liquidity provision by the central bank.
8 De-Bandt and Hartmann (2000) Systemic risk: a survey.
9 De Nicolo and Kwast (2002) Systemic risk and nancial consolidation, are they related?
10 Borio (2003) Towards a macroprudential framework for nancial supervision and regulation?
11 Elsinger et al. (2006) Risk assessment for banking systems.
12 Degryse and Nguyen (2007) Interbank exposures: an empirical examination of contagion risk in the Belgian
banking system.
13 Allen and Gale (2007) Understanding nancial crises.
14 Brunnermeier (2009) Deciphering the liquidity and credit crunch 20072008.
15 Brunnermeier and Pedersen (2009) Market liquidity and funding liquidity.
16 Adrian and Shin (2009) Liquidity and leverage.
17 Brunnermeier et al. (2009) The fundamental principles of nancial regulation.
18 Adrian and Brunnermeier (2010) CoVaR.
19 Acharya et al. (2010) Measuring systemic risk.
20 Brownlees and Engle (2010) Volatility, correlation and tails for systemic risk measurement.
21 Huang et al. (2011) Systemic risk contributions.
22 Billio et al. (2012) Econometric measures of connectedness and systemic risk in the nance and
insurance sectors.
23 Acemoglu et al. (2013) Systemic risk and stability in nancial networks.
24 Glasserman and Young (2014) How likely is contagion in nancial networks?
25 Elliott et al. (2014) Financial networks and contagion.
26 Chinazzi and Fagiolo (2015) Systemic risk, contagion and nancial networks: a survey.
27 Sandhu et al. (2016) Ricci curvature: an economic indicator for market fragility and systemic risk.

Table 17
Comparative classication of articles.

N. Article Type Theme/Main Object Method Scope Period

1 Diamond and Dybvig (1983) Theoretical. Banking panics. Mathematical modelling. Not applicable. Not applicable.
2 Diamond (1984) Theoretical. Financial intermediation Mathematical modelling. Not applicable. Not applicable.
and diversication.
3 Calomiris and Gorton (1991) Theoretical. Banking panics. Review. USA. Secs. XIX e XX.
4 Calomiris and Kahn (1991) Theoretical. Callable debt, optimal Mathematical modelling. Not applicable. Not applicable.
contract.
5 Allen and Gale (1998) Theoretical. Banking panics. Economic modelling. Not applicable. Not applicable.
6 Allen and Gale (2000a) Theoretical. Contagion. Mathematical modelling. Not applicable. Not applicable.
7 Freixas et al. (2000) Theoretical. Liquidity and contagion in Mathematical modelling. Not applicable. Not applicable.
the interbank system.
8 De-Bandt and Hartmann (2000) Theoretical. Concepts and models of Review. Not applicable. Not applicable.
systemic risk.
9 De Nicolo and Kwast (2002) Empirical. Bank consolidation. Econometric USA 19881999.
10 Borio (2003) Theoretical. Micro vs macroregulation. Descriptive-analytical. Not applicable. Not applicable.
11 Elsinger et al. (2006) Empirical. Contagion. Network models. Austria. 19892002.
12 Degryse and Nguyen (2007) Empirical. Contagion. Simulation. Belgium. 19932002.
13 Allen and Gale (2007) Theoretical. Financial crisis. Comparative analysis. World. Secs. XIX a XXI.
14 Brunnermeier (2009) Theoretical. 2007 crisis. Descriptive-analytical. USA 20072009.
15 Brunnermeier and Pedersen (2009) Theoretical. Liquidity and funding. Statistical and Not applicable. Not applicable.
mathematical modelling.
16 Adrian and Shin (2009) Empirical. Liquidity and leverage. Econometric. USA. 19922008.
17 Brunnermeier et al. (2009) Theoretical. Regulation. Descriptive-analytical. Not applicable. Not applicable.
18 Adrian and Brunnermeier (2010) Empirical. Systemic risk of a given Econometric. USA, Europe. 19712013.
bank.
19 Acharya et al. (2010) Empirical. Systemic risk of a given Econometric. USA. 20062009.
bank.
20 Brownlees and Engle (2010) Empirical. Systemic risk of a given Econometric. USA. 20002010.
bank.
21 Huang et al. (2011) Empirical. Systemic risk of a given Econometric. USA. 20042010.
bank.
22 Billio et al. (2012) Empirical. Contagion. Econometric. USA. 19942008.
23 Acemoglu et al. (2013) Theoretical. Contagion and Mathematical and network Not applicable. Not applicable.
counterparty risk. modelling.
24 Glasserman and Young (2014) Empirical. Contagion. Network models. Europe. 2010.
25 Elliott et al. (2014) Empirical. Contagion. Network models. Europe. 2011.
26 Chinazzi and Fagiolo (2015) Theoretical. Contagion. Review Not applicable. Not applicable.
27 Sandhu et al. (2016) Theoretical and empirical. Systemic risk in a specic Mathematical. USA. 19982013.
market.
108 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114
Fig. 10. Research network.
economic modelling. The other 11 studies are empirical and use
econometric methods (seven articles), network models (three arti-
cles) or simulation (one article).
The too central to fail phenomenon is a prominent factor in
several articles and is considered more impactful on systemic risk
than too big to fail. Nine articles specically analyze the effects of
interconnectivity and the consequent potential for contagion and
spread of nancial problems for the detection and measurement of
systemic risk.
Many of the articles found on this main research path propose
systemic risk indicators: Allen and Gale (2000a) propose a mea-
sure of preference for liquidity; Freixas et al. (2000) an indicator
of risk of contagion; De Nicolo and Kwast (2002) the correlation
of bank shares; and Degryse and Nguyen (2007) the intersection
of loss given the default (LGD) between banks. Other works focus
on the systemic importance and the systemic risk due to a spe-
cic institution; Adrian and Shin (2009) propose the variation of
leverage and the VaR/Assets relationship of the institution as a mea-
sure; Adrian and Brunnermeier (2010) propose the popular CoVaR
which measures the VaR of the entire nancial system condi-
tional on a particular institution being in a given state; Acharya
et al. (2010) the SES; Brownlees and Engle (2010) the MES; Huang
et al. (2011) the DIP; Billio et al. (2012) the degree of connectivity
of the institution; and Glasserman and Young (2014) the fraction of
the institutions debts held by other nancial institutions. Sandhu
et al. (2016) use a mathematical concept from topology, the Ricci
curvature, as an economic indicator for systemic risk and apply it
to a set of stocks comprising the S&P 500.
Correlation between assets and markets is always an important
element in the analysis of systemic nancial risk because it seems
that, empirically, in falling markets, volatility increases and assets
move in a more coupled manner, increasing systemic risk. Several
articles use correlations as a direct or indirect measure. De Nicolo
and Kwast (2002) propose the correlation of bank stock returns as a
systemic risk indicator; Lehar (2005) the correlation between bank
investment portfolios; Elsinger et al. (2005) the correlation of risk
exposures and mutual credit between banks. The three articles use
econometric modelling.
Regarding the origin of the data, some articles in the main
research path use balance sheet data. Elsinger et al. (2006) use
data from portfolios owned by banks, and Degryse and Nguyen
(2007) use data from aggregate interbank exposures. According
to Drehmann and Tarashev (2011), it is unlikely that a regulatory
authority would directly use a more sophisticated tool to measure
systemic risk; on the contrary, it must observe these measures only
to bring them closer to simpler and more reliable indicators spe-
cic to banks. According to Elsinger et al. (2005), stock market data
are most likely to reect relevant public information about risk
exposure of a bank in nancial markets that are highly developed.
However, the data do not necessarily convey private information,
which can be restricted to supervisory bank microdata (Elsinger
et al., 2005). Thus, the private information that is contained in
statements monitored by regulatory authorities is of paramount
importance (Elsinger et al., 2005).
However, according to Elsinger et al. (2005), methods that use
market data can be readily applied in contrast with methods based
on proprietary information, e.g., supervisory data. Although such
data sources allow deeper analysis of risk factors, they are not
broadly available and generally are restricted to supervisory bodies.
Market prices have the advantage of being easily accessible com-
pared to data related to the balance sheets and nancial indicators
of companies.
De Nicolo and Kwast (2002) use the stock prices of banks.
According to Gropp et al. (2002), from a supervisory perspective,
assets issued by banks are interesting because the market prices of
debt and shares can increase the funding cost of banks. These are
early signs calling for greater scrutiny (Gropp et al., 2002). Of the
empirical articles analyzed, the vast majority use market data in
their models and analysis, with the advantages and disadvantages
discussed already above.
 W. Silva et al. / Journal of Financial Stability 28 (2017) 91114
Fig. 11. Main research path.
All articles discuss aspects of regulation, either directly or indi-
rectly given the nature of the subject discussed. Therefore, they are
of interest to professionals involved in banking regulation. Research
on systemic nancial risk is a multifaceted eld of study. The diver-
sity of subjects and objects that are present in the articles includes
market risk, liquidity risk, credit risk, contagion, leverage, bank
consolidation, nancial diversication, and bank runs and panics.
6. Conclusions
The literature on systemic nancial risk is evolving. This nd-
ing was expected given the impact of the 2008 nancial crisis on
nancial institutions and the nancial system and the repercus-
sions for the global economy. The literature is comprehensive and
109
reects the very diversity of the subject and the multiple aspects
involved in the research. It is also characterized by its high qual-
ity, which also reveals the growing importance of the subject and
the large economic and social costs that are involved in nancial
crises. The adequate functioning of the nancial system funda-
mentally depends on the condence of agents to a much greater
extent than in other sectors of the economy. Moreover, as argued
by Hippler and Hassan (2015), the protability of all rms, nancial
rms in particular, is negatively affected by increases in macroeco-
nomic and nancial stress. The subject involves regulatory aspects,
as the economy in the broader sense must be protected in addition
to investors and depositors. In addition, there are repercussions
for the management of portfolios and the monitoring of specic
markets.
Section 5 presented elements that appeared less frequently in
the literature (GAP1 ); this was determined based on a considerable
sample of 266 articles that were available for download in the Sco-
pus and Web of Science databases. This work has limitations that
result from the method adopted. By changing some criteria, some
articles could have been included and others excluded from the
sample. The classication categories, relevant at rst, could also
be modied depending on the researchers approach and inter-
ests. Nevertheless, ndings that can serve as a reference and help
form the basis of a research agenda for researchers in the area were
presented.
With regard to the most important articles concerning systemic
nancial risk as viewed by the researchers themselves, a network of
102 articles considered to be important for advancing the subject
was built. An in-depth analysis of the 27 articles was performed
that described the main path of this research eld; it was conducted
according to the previously described method. There is a diversity
of objects and approaches, as is characteristic of the literature on
the subject. Each article has its merits, whether by performing an
analysis that contributes to the eld, by proposing innovative paths
or useful risk measures for the measurement of systemic nancial
risk, or by organizing and discussing information on the subject in
important reviews. The most recent articles, even without having
been cited many times, have afrmed their importance because
they are recognized by other recent articles and are linked to an
important network of studies.
Once again, the set of articles could have varied depending on
the criteria adopted, with the exclusion of some articles and the
inclusion of others. However, what cannot be denied is the rele-
vance of this set of articles. In the literature, many articles focused
on the systemic importance of specic institutions. It would be
interesting if there were more comprehensive and comparative
studies of the measures of systemic nancial risk, applying them
to the same set of banks, discussing the advantages and disadvan-
tages of each approach, and checking where they clash and where
they complement each other; this could enhance the monitoring
of nancial institutions in an interesting manner. This is also sug-
gested for future studies.
Acknowledgments
Walmir Silva gratefully acknowledges nancial support from
the CAPES foundation and Herbert Kimura from CNPq.
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