The paper by Huang, Zhou and Zhu which will be presented at this conference contains an approach for measuring the systemic risk of a financial system using financial market data. Compared with indicators derived from banks’ balance sheets, financial market data have the advantage that they are available on a timely basis and are forward-looking.
However, market-based risk measures are much more influenced by market movements than balance sheet related data. Consequently its suitability has to be reviewed more often.