Systemic risk, loosely defined, describes the risk that large parts of the financial system will collapse, leading to potentially far-reaching consequences both within and beyond the financial system. Such risks can materialize following shocks to relatively small parts of the financial system and then spread through various contagion channels. Assessing the systemic risk a bank poses to the system has thus become a central part of regulating its capital requirements.
INET Oxford's Christoph Siebenbrunner's work on this subject was published on the Mathematical Institute's webpage. For full details please click here.