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Systemic risk measures and regulatory challenges.

Ellis, Scott; Sharma, Satish; Brzeszczyński, Janusz


Scott Ellis

Satish Sharma


This paper discusses different definitions of systemic risk and identifies the challenges, which regulators face in addressing this phenomenon. We conducted a systematic literature review of 4859 abstracts to categorize the various methodologies developed to measure systemic risk. In total, 60 systemic risk measures proposed post-2000 have been critically appraised to inform academics and regulators of their practical applications and model vulnerabilities. This review suggests that most of these methods focus on individual financial institutions rather than on system stability. Those methodologies directly reflect the current regulations, which aim to ensure individual institutions’ soundness. As macro-prudential regulation evolves, policy-makers face the issues of understanding contagion and how regulations should be implemented. This paper also discusses new systemic risk and regulatory challenges resulting from the current COVID-19 pandemic.


ELLIS, S., SHARMA, S., and BRZESZCZYŃSKI, J. 2022. Systemic risk measures and regulatory challenges. Journal of financial stability [online], 61, article 100960. Available from:

Journal Article Type Article
Acceptance Date Dec 6, 2021
Online Publication Date Dec 8, 2021
Publication Date Aug 31, 2022
Deposit Date Apr 13, 2023
Publicly Available Date Jun 9, 2023
Journal Journal of financial stability
Print ISSN 1572-3089
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 61
Article Number 100960
Keywords Systemic risk; Systematic literature review; Data requirements; Macro-prudential regulation; COVID-19 pandemic
Public URL


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