The paper provides a survey of the systemic risk indicators used in official publications by international institutions involved in analysing risks for financial stability and in implementing macroprudential policies, with a focus on those produced by the IMF, the ESRB, the ECB, the Bank of England and the Bank of Italy. For each indicator, the paper gives a general description, a technical summary of the methodology underlying the indicator and the estimation process, and an empirical example taken from an official publication.
The paper provides a rigorous, though not overly technical introduction to the major systemic risk indicators used at the international level, organizing them in a coherent way and highlighting their strengths and weaknesses. The survey provides researchers, regulators and supervisors with a systematic overview of these indicators.
