Issue 1(41), 2016

UDC 336

Systemic risk in the modern world: definition, assessment, management

E. V. Dolgova, E. E. Vasil'eva  

This article discusses relevant aspects of the systemic risk in the modern world: the approaches to the definition of this concept, its assessment as well as positive examples of systemic risk management practices. The authors demonstrated that theoretical researchers, international financial institutions and national regulators of the financial systems of the leading world-powers invest different meanings in the concept of «systemic risk», depending on the subjective understanding of the phenomenon, as well as objectives, subject, object, size and other characteristics of ongoing researches that greatly complicates the possibility of further study and modeling of systemic risk as an economic category.

After analysis of a broad retrospective of definitions of systemic risk, the authors identified the main components of systemic risk in the modern financial system. These components reveal the essence of systemic risk, and may serve as a basis for further unification of this concept.

On the basis of the system approach the authors propose a basic algorithm of formation of assessment of the systemic risk, which consists of the following consecutive blocks: assessment of the external environment of the system, assessment of system infrastructure, assessment of individual participants in the system. There are factors that characterize the external environment and system infrastructure. The proposed basic algorithm is the basis for the construction of the expanded methodology of systemic risk assessment and provides the basis for the modeling of this phenomenon.

This article shows a positive experience in management of systemic risk of financial systems, including the Russian Federation, and states that the international financial community and the domestic national regulator are making some efforts on systemic risk management.

Results of the study can serve as a basis for the further study and modeling of systemic risk.

Keywords: systemic risk; systemic crisis; economic shock; financial system.



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