The risk of systemic risk measures.

Summary The measurement of systemic risk of financial institutions has become a key issue for the stability of the financial system. Most of the currently proposed measures are based on the estimation of conditional quantiles, which have the characteristic of being extremely sensitive to the estimation method and to the specification of the risk models used. We propose to correct systemic risk measures based on statistical validation procedures. Our application to covari suggests that model risk is important and that institutions identified as "systemic" differ depending on whether or not model risk is taken into account.