# Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk

Published in *arXiv*, 2021

Recommended citation: Jarrow, R., Protter, P., Quintos, A. Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk. (2021). __https://arxiv.org/abs/2110.10936__

This paper characterizes the probability of a market failure defined as the simultaneous default of two globally systemically important banks (G-SIBs), where the default probabilities are correlated. The characterization employs a multivariate Cox process across the G-SIBs. Various theorems related to market failure probabilities are derived, including the impact of increasing the number of G-SIBs in an economy and changing the initial conditions of the economy’s state variables.