Handbook on Systemic Risk

Introduction; Contributors; Part I. Data: The Prerequisite for Managing Systemic Risk: 1. Systemic risk information requirements: current environment, needs, and approaches for development; 2. Aligning models and data for systemic risk analysis; 3. Applying FpML; 4. Data integration for systemic risk in the financial system; 5. Semantics in systemic risk management; Part II. Statistics and Systemic Risk: 6. Statistical assessments of systemic risk measures; 7. Regime switching models and risk measurement tools; Part III. Measuring and Regulating Systemic Risk: 8. Measuring systemic risk; 9. Taxing systemic risk; 10. Analyzing systemic risk of the European banking sector; Part IV. Networks: 11. Network models and systemic risk assessment; 12. Strategic interactions on financial networks for the analysis of systemic risk; 13. Network structure and systemic risk in banking systems; Part V. Systemic Risk and Mathematical Finance: 14. Firms, banks and households; 15. An agent-based computational model for bank formation and interbank networks; 16. Diversification in financial networks may increase systemic risk; 17. Systemic risk illustrated; 18. Financial crisis and contagion: a dynamical systems approach; Part VI. Counterparty Risk and Systemic Risk: 19. Pricing and mitigation of counterparty credit exposures; 20. Counterparty contagion in context: contributions to systemic risk; Part VII. Algorithmic Trading: 21. Market microstructure knowledge needed for controlling an intra-day trading process; 22. Dynamical models of market impact and algorithms for order execution; Part VIII. Behavioral Finance: The Psychological Dimension of Systemic Risk: 23. Fear, greed, and financial crises: a cognitive neurosciences perspective; 24. Bubbles, crises, and heterogeneous beliefs; 25. Systemic risk and sentiment; Part IX. Regulation: 26. The new financial stability framework in Europe; 27. Sector-level financial networks and macroprudential risk analysis in the Euro area; 28. Systemic risk early warning system: a micro-macro prudential synthesis; Part X. Computational Issues and Requirements: 29. Enabling data analysis for addressing systemic risk; 30. Operational considerations in an analytic environment for systemic risk; 31. Requirements for systemic risk management in the financial sector; Part XI. Accounting Issues: 32. Accounting's role in the reporting, creation, and avoidance of systemic risk in financial institutions.