Quantifying systemic risk
By: edited by Joseph G. Haubrich and Andrew W. Lo
Series: National Bureau of Economic Research conference report; National Bureau of Economic Research conference report
Publisher: The University of Chicago Press
Published: 2012
Place of publication: Chicago; London
Language: eng
Number of pages: 273
ISBN-13: 9780226319285; 9780226921969
Copyright date: 2013
Subjects: Financial risk; Mathematical models; Congresses; Operational risk; Risk assessment
Description: "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."--Publisher's website.
Notes: Includes bibliographical references and index.
Table of contents: title: Introduction / Joseph G. Haubrich and Andrew W. Lo; title: Systemic risk and financial innovation: towards a "unified" approach / Henry T. C. Hu; title: Liquidity risk, cash flow constraints, and systemic feedbacks / Sujit Kapadia, Mathias Drehmann, John Elliott, and Gabriel Sterne; title: Comment: Mikhail Oet; title: Endogenous and systemic risk / Jon Danielsson, Hyun Song Shin, and Jean-Pierre Zigrand; title: Comment: Bruce Mizrach, Terence C. Burnham; title: Systemic risks and the macroeconomy / Gianni De Nicolò and Marcella Lucchetta; title: Comment: Hao Zhou; title: Hedge fund tail risk / Tobias Adrian, Markus K. Brunnermeier, and Hoai-Luu Nguyen; title: Comment: Ben Craig; title: How to calculate systemic risk surcharges / Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson; title: Comment: Mathias Drehmann; title: The quantification of systemic risk and stability: new methods and measures / Romney B. Duffey; title: Comment: Joseph G. Haubrich.