As anticipation of future government intervention is embedded in market prices, these do not reflect the true underlying tail risk thus leading to a mismeasurement of systemic risk, particularly for the methods that use market prices to build indicators of systemic risk.
Stijn van Nieuwerburgh has made an important contribution to the widely debated topic of safe assets, following the massive fall in its supply in the aftermath of the crisis. The subsequent emergence of the euro area sovereign debt crisis led to government bonds in certain jurisdictions no longer being considered a safe asset.