Measuring systemic risk in the U.S. Banking system
A novel measure of systemic risk using mapping and regression methods is proposed. Default probabilities for U.S. banks are aggregated into a single macro measure. Our measure has predictive power to detect systemic volatility prior to the 2008–09 crisis. According to our measure, systemic risk returned to normal levels by 2012. Micro- and macro-prudential measures are useful in assessing systemic risk.