Bundesbank paper raises concerns over accuracy of systemic risk measures


A discussion paper published by the Deutsche Bundesbank on March 11 finds market-based measures of systemic risk can give misleading indications of safety despite highly risky positions.

The paper, Robustness and informativeness of systemic risk measures, by Gunter Löffler and Peter Raupach, notes that the infrequent nature of extreme events means they are often, by necessity, excluded from data sets. As a result, "it is possible to take large tail risks that remain nearly invisible in the

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