Systemic risk components and deposit insurance premia

Jeremy C Staum*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

14 Scopus citations


In light of recent events, there have been proposals to establish a theory of financial system risk management analogous to portfolio risk management. One important aspect of portfolio risk management is risk attribution, the process of decomposing a risk measure into components that are attributed to individual assets or activities. The theory of portfolio risk attribution has limited applicability to systemic risk because systems can have richer structure than portfolios. This article contributes to the theory of systemic risk attribution and illuminates the design process for systemic risk attribution by developing some schemes for attributing systemic risk in an application to deposit insurance.

Original languageEnglish (US)
Pages (from-to)651-662
Number of pages12
JournalQuantitative Finance
Issue number4
StatePublished - Apr 1 2012


  • Cost allocation
  • Deposit insurance
  • Risk allocation
  • Risk attribution
  • Risk components
  • Systemic risk

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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