Following the financial crisis of 2008–2009, a large literature has emerged that attempts to quantify and measure systemic risk. In this paper we focus on some of the more popular systemic risk indicators from this literature and ask how well they work, in the following sense: At the aggregate level, what information above that which is readily observable in the market do we learn from these systemic risk indicators? Several popular measures provide very little incremental information beyond that contained in implied volatilities and credit spreads — information which is commonly known to market participants. For some indicators, where neither the cross sectional mean nor standard deviation contains meaningful incremental information, we find that the tail proportion (the cross sectional proportion of indicators experiencing a tail realization) does contain information that is not already observable in the market.
Mamaysky, Harry. "How useful are aggregate measures of systemic risk?" Journal of Alternative Investments 18, no. 4 (2016): 13-32.
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