Closed form solutions of measures of systemic risk

Abstract. This paper derives — considering a Gaussian setting — closed form solutions of the statistics that have been suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific regression coefficients with the mean corrected Value at Risk. Hence, in a Gaussian setting the measures of systemic risks are closely related to well known concepts of financial statistics. A further benefit of the analysis is that it is revealed how the concepts are related to each other.