Quantifying Systemic Risk
Quantifying Systemic Risk

Author: Joseph G. Haubrich

Publisher: University of Chicago Press

Published: 2013-01-24

Total Pages: 286

ISBN-13: 0226319288

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In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.

Risk Topography
Risk Topography

Author: Markus Brunnermeier

Publisher: University of Chicago Press

Published: 2014-10-17

Total Pages: 286

ISBN-13: 022609264X

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The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.

Handbook on Systemic Risk
Handbook on Systemic Risk

Author: Jean-Pierre Fouque

Publisher: Cambridge University Press

Published: 2013-05-23

Total Pages: 993

ISBN-13: 1107023432

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The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Systemic Contingent Claims Analysis
Systemic Contingent Claims Analysis

Author: Mr.Andreas A. Jobst

Publisher: International Monetary Fund

Published: 2013-02-27

Total Pages: 93

ISBN-13: 1475557531

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The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.

Regulating Wall Street
Regulating Wall Street

Author: New York University Stern School of Business

Publisher: John Wiley & Sons

Published: 2010-10-28

Total Pages: 592

ISBN-13: 0470949864

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Experts from NYU Stern School of Business analyze new financial regulations and what they mean for the economy The NYU Stern School of Business is one of the top business schools in the world thanks to the leading academics, researchers, and provocative thinkers who call it home. In Regulating Wall Street: The New Architecture of Global Finance, an impressive group of the Stern school’s top authorities on finance combine their expertise in capital markets, risk management, banking, and derivatives to assess the strengths and weaknesses of new regulations in response to the recent global financial crisis. Summarizes key issues that regulatory reform should address Evaluates the key components of regulatory reform Provides analysis of how the reforms will affect financial firms and markets, as well as the real economy The U.S. Congress is on track to complete the most significant changes in financial regulation since the 1930s. Regulating Wall Street: The New Architecture of Global Finance discusses the impact these news laws will have on the U.S. and global financial architecture.

Systemic Risk: History, Measurement And Regulation
Systemic Risk: History, Measurement And Regulation

Author: Yvonne Kreis

Publisher: World Scientific

Published: 2019-06-04

Total Pages: 197

ISBN-13: 9811201072

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Systemic Risk: History, Measurement and Regulation presents an overview of this emerging form of risk from a global perspective. Systemic risks endanger entire financial systems, not just individual financial institutions. In this volume, the authors review how systemic risk has evolved over the last 40 years across continents to come to the forefront of regulatory attention. They then discuss transmissions channels, provide a review of systemic risk measures, and describe new regulations that have been introduced, as well as the theory and practice of financial stability committees that have been set up internationally. Overall, the book provides a practical guide to understand, identify, assess and control systemic risk.While the financial research on systemic risk has strongly increased since the events of 2008, this book is a first in providing a detailed yet concise overview of the topic, covering the history of systemic risk, its measurement, and its regulation. The authors provide both academic and practitioner-oriented insights, and draw on their different regions of expertise to provide a global perspective on systemic risk.

Managing and Measuring Risk
Managing and Measuring Risk

Author: Oliviero Roggi

Publisher: World Scientific Publishing Company Incorporated

Published: 2013

Total Pages: 520

ISBN-13: 9789814417495

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Ch. 1. An evolutionary perspective on the concept of risk, uncertainty and risk management / Oliviero Roggi and Omar Ottonelli -- ch. 2. Toward a bottom-up approach to assessing sovereign default risk: an update / Edward I. Altman and Herbert Rijken -- ch. 3. Measuring systemic risk / Viral V. Acharya ... [et al.] -- ch. 4. Taxing systemic risk / Viral V. Acharya ... [et al.] -- ch. 5. Liquidity and efficiency in three related foreign exchange options markets / Menachem Brenner and Ben Z. Schreiber -- ch. 6. Illiquidity or credit deterioration: a study of liquidity in the US corporate bond market during financial crises / Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam -- ch. 7. Integrated wealth and risk management: first principles / Zvi Bodie -- ch. 8. Analyzing the impact of effective risk management: innovation and capital structure effects / Torben Juul Andersen -- ch. 9. Modeling credit risk for SMEs: evidence from the US market / Edward I. Altman and Gabriele Sabato -- ch. 10. SME rating: risk globally, measure locally / Oliviero Roggi and Alessandro Giannozzi -- ch. 11. Credit loss and systematic LGD / Jon Frye and Michael Jacobs Jr. -- ch. 12. Equity risk premiums (ERP): determinants, estimation and implications - the 2012 edition / Aswath Damodaran -- ch. 13. Stock market crashes in 2007-2009: were we able to predict them? / Sébastien Lleo and William T. Ziemba

Systemic Risk Modeling: How Theory Can Meet Statistics
Systemic Risk Modeling: How Theory Can Meet Statistics

Author: Mr.Raphael A Espinoza

Publisher: International Monetary Fund

Published: 2020-03-13

Total Pages: 39

ISBN-13: 1513536176

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We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire sales, and a “Minsky" cycle of optimism. The empirical model uses stock market and CDS spreads data to estimate a multivariate density of equity returns and to compute the expected equity return for each bank, conditional on a bad macro-outcome. Theses “cross-sectional" moments are used to re-calibrate the theoretical model and estimate the importance of the Minsky cycle of optimism in driving systemic risk.

Trade Credit and Bank Credit
Trade Credit and Bank Credit

Author: Inessa Love

Publisher: World Bank Publications

Published: 2005

Total Pages: 34

ISBN-13:

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"The authors study the effect of financial crises on trade credit in a sample of 890 firms in six emerging economies. They find that although provision of trade credit increases right after the crisis, it consequently collapses in the following months and years. The authors observe that firms with weaker financial position (for example, high pre-crisis level of short-term debt and low cash stocks and cash flows) are more likely to reduce trade credit provided to their customers. This suggests that the decline in aggregate credit provision is driven by the reduction in the supply of trade credit, which follows the bank credit crunch. The results are consistent with the "redistribution view" of trade credit provision, in which bank credit is redistributed by way of trade credit by the firms with stronger financial position to the firms with weaker financial stand "--World Bank web site.