Understanding Systemic Risk in Global Financial Markets

 
 
John Wiley & Sons Inc (Verlag)
  • erschienen am 7. Juni 2017
  • |
  • 272 Seiten
 
E-Book | PDF mit Adobe DRM | Systemvoraussetzungen
978-1-119-34854-2 (ISBN)
 
An accessible and detailed overview of the risks posed by financial institutions
Understanding Systemic Risk in Global Financial Markets offers an accessible yet detailed overview of the risks to financial stability posed by financial institutions designated as systemically important. The types of firms covered are primarily systemically important banks, non-banks, and financial market utilities such as central counterparties. Written by Aron Gottesman and Michael Leibrock, experts on the topic of systemic risk, this vital resource puts the spotlight on coherency, practitioner relevance, conceptual explanations, and practical exposition.
Step by step, the authors explore the specific regulations enacted before and after the credit crisis of 2007-2009 to promote financial stability. The text also examines the criteria used by financial regulators to designate firms as systemically important. The quantitative and qualitative methods to measure the ongoing risks posed by systemically important financial institutions are surveyed.
* A review of the regulations that identify systemically important financial institutions
* The tools to use to detect early warning indications of default
* A review of historical systemic events their common causes
* Techniques to measure interconnectedness
* Approaches for ranking the order the institutions which pose the greatest degree of default risk to the industry
Understanding Systemic Risk in Global Financial Markets offers a must-have guide to the fundamentals of systemic risk and the key critical policies that work to reduce systemic risk and promoting financial stability.
weitere Ausgaben werden ermittelt
ARON GOTTESMAN is Professor of Finance and the chair of the Department of Finance and Economics at the Lubin School of Business at Pace University. He is widely published in academic journals and is the author of Derivatives Essentials: An Introduction to Forwards, Futures, Options, and Swaps.
MICHAEL LEIBROCK is managing director, chief systemic risk officer, and head of Counterparty Credit Risk for The Depository Trust & Clearing Corporation (DTCC). He serves as chair of DTCC's Model Risk Governance Committee and co-chair of the Systemic Risk Council, and is an active speaker globally on the topics of systemic and credit risk.
1 - Cover [Seite 1]
2 - Title Page [Seite 5]
3 - Copyright [Seite 6]
4 - Contents [Seite 9]
5 - Preface [Seite 15]
6 - Acknowledgments [Seite 19]
7 - About the Authors [Seite 20]
8 - Chapter 1: Introduction to Systemic Risk [Seite 23]
8.1 - What Is Systemic Risk? [Seite 24]
8.2 - Systemic Risk Drivers [Seite 25]
8.3 - Why Systemic Risk Must Be Understood, Monitored, and Managed [Seite 27]
8.4 - Key Points [Seite 29]
8.5 - Knowledge Check [Seite 29]
8.6 - Notes [Seite 30]
9 - Chapter 2: How We Got Here: A History of Financial Crises [Seite 31]
9.1 - Introduction [Seite 31]
9.2 - Common Drivers of Historical Crises [Seite 32]
9.2.1 - Bursting of Asset Bubbles [Seite 32]
9.2.2 - Banking Crises [Seite 36]
9.2.3 - Sovereign Debt Crisis [Seite 37]
9.3 - International Contagion [Seite 40]
9.4 - Key Points [Seite 43]
9.5 - Knowledge Check [Seite 44]
9.6 - Notes [Seite 44]
10 - Chapter 3: The Credit Crisis of 2007-2009 [Seite 46]
10.1 - Introduction [Seite 46]
10.2 - Planting the Seeds of a Bubble: The Early 2000s [Seite 47]
10.3 - Wall Street's Role [Seite 49]
10.4 - The U.S. Government Takeover of the GSEs [Seite 52]
10.5 - The Tipping Point: Lehman Brothers' Failure [Seite 54]
10.6 - Aftermath of the Credit Crisis [Seite 57]
10.7 - Cost of Government Bailouts [Seite 59]
10.8 - Key Points [Seite 60]
10.9 - Knowledge Check [Seite 62]
10.10 - Notes [Seite 62]
11 - Chapter 4: Systemic Risk, Economic and Behavioral Theories: What Can We Learn? [Seite 66]
11.1 - Introduction [Seite 66]
11.2 - Minsky Three-Part Model [Seite 67]
11.3 - Debt Deflation Cycle [Seite 68]
11.4 - Benign Neglect [Seite 69]
11.5 - Behavioral Theories [Seite 70]
11.6 - Risk Aversion Bias [Seite 71]
11.7 - Asset Prices [Seite 72]
11.8 - Homogeneous Expectations versus Heterogeneity [Seite 73]
11.8.1 - Anchoring Heuristic [Seite 74]
11.8.2 - Excessive Optimism [Seite 74]
11.8.3 - Familiarity Bias [Seite 75]
11.8.4 - Fallacy of Composition [Seite 75]
11.8.5 - Fight or Flight [Seite 75]
11.9 - Key Points [Seite 77]
11.10 - Knowledge Check [Seite 78]
11.11 - Notes [Seite 78]
12 - Chapter 5: Systemic Risk Data [Seite 81]
12.1 - Introduction [Seite 81]
12.2 - Key Data Attributes [Seite 82]
12.3 - Key Policy Changes to Address Data Gaps [Seite 82]
12.4 - Data Sources [Seite 85]
12.5 - Data Collection Challenges and Remaining Gaps [Seite 85]
12.6 - Move Toward Standardization: Legal Entity Identifier Initiative [Seite 90]
12.7 - Key Points [Seite 91]
12.8 - Knowledge Check [Seite 93]
12.9 - Notes [Seite 93]
13 - Chapter 6: Macroprudential versus Microprudential Oversight [Seite 95]
13.1 - Introduction [Seite 95]
13.2 - A Comparison of Macroprudential versus Microprudential [Seite 96]
13.3 - Microprudential Policies [Seite 96]
13.4 - Macroprudential Policies [Seite 98]
13.5 - A Historical Perspective on Macroprudential Tools [Seite 99]
13.6 - Choice of Macroprudential Policy Tools [Seite 101]
13.7 - Key Points [Seite 103]
13.8 - Knowledge Check [Seite 103]
13.9 - Notes [Seite 104]
14 - Chapter 7: Introduction to the U.S. Regulatory Regime [Seite 106]
14.1 - Introduction [Seite 106]
14.2 - Who Are the Regulators? [Seite 106]
14.3 - U.S. Regulatory Approaches [Seite 108]
14.4 - Comparison of U.S. versus International Financial Regulatory Regimes [Seite 109]
14.5 - Introduction to the Dodd-Frank Act [Seite 112]
14.6 - Key Points [Seite 115]
14.7 - Knowledge Check [Seite 117]
14.8 - Notes [Seite 117]
15 - Chapter 8: Introduction to International Regulatory Regimes [Seite 119]
15.1 - Introduction [Seite 119]
15.2 - The Financial Stability Board [Seite 119]
15.3 - The Basel Accords [Seite 121]
15.4 - The European Systemic Risk Board [Seite 121]
15.5 - Principles for Financial Market Infrastructures [Seite 124]
15.6 - Key Points [Seite 126]
15.7 - Knowledge Check [Seite 127]
15.8 - Notes [Seite 127]
16 - Chapter 9: Systemically Important Entities [Seite 129]
16.1 - Introduction [Seite 129]
16.2 - Introduction to Systemically Important Entities [Seite 129]
16.3 - Classification of Entities as Systemically Important by the FSOC [Seite 130]
16.3.1 - Bank SIFIs [Seite 132]
16.3.2 - Nonbank SIFIs [Seite 132]
16.3.3 - SIFMUs [Seite 134]
16.4 - Globally Systemically Important Banks [Seite 134]
16.4.1 - Total Loss-Absorbing Capacity (TLAC) Requirements [Seite 136]
16.5 - Broad Impact of Financial Stability Requirements [Seite 139]
16.6 - Key Points [Seite 139]
16.7 - Knowledge Check [Seite 140]
16.8 - Notes [Seite 140]
17 - Chapter 10: The Volcker Rule [Seite 142]
17.1 - Introduction [Seite 142]
17.2 - Introduction to the Volcker Rule [Seite 142]
17.3 - The Volcker Rule: Details [Seite 144]
17.3.1 - Prohibition of Proprietary Trading [Seite 145]
17.3.2 - Prohibition of Ownership or Sponsorship of Hedge Funds and Private Equity Funds [Seite 145]
17.3.3 - The Volcker Rule and Systemically Risky Nonbank Financial Companies [Seite 145]
17.3.4 - Activities That Are Permitted Despite the Volcker Rule [Seite 146]
17.4 - Implementation of the Volcker Rule [Seite 147]
17.5 - Volcker Rule: Criticism [Seite 148]
17.6 - Key Points [Seite 149]
17.7 - Knowledge Check [Seite 150]
17.8 - Notes [Seite 151]
18 - Chapter 11: Counterparty Credit Risk [Seite 152]
18.1 - Introduction [Seite 152]
18.2 - Overview of Derivative Securities [Seite 152]
18.3 - Counterparty Exposure [Seite 155]
18.4 - How Counterparty Credit Risk Is Managed [Seite 158]
18.4.1 - Collateral [Seite 158]
18.4.2 - Netting [Seite 158]
18.4.3 - Central Counterparties [Seite 161]
18.5 - Counterparty Credit Risk and Systemic Risk [Seite 164]
18.6 - Key Points [Seite 165]
18.7 - Knowledge Check [Seite 167]
18.8 - Notes [Seite 168]
19 - Chapter 12: The Dodd-Frank Act and Counterparty Credit Risk [Seite 169]
19.1 - Introduction [Seite 169]
19.2 - Measuring Counterparty Exposure in the OTC Derivatives Market [Seite 169]
19.3 - Overview of Historical Data [Seite 171]
19.4 - The Evolution of the U.S. Regulatory Approach toward OTC Derivatives [Seite 174]
19.5 - Key Provisions of Title VII of the Dodd-Frank Act [Seite 175]
19.5.1 - Mandatory Clearing [Seite 176]
19.5.2 - Execution Platforms and Data Repositories [Seite 176]
19.5.3 - Registration Requirements [Seite 177]
19.5.4 - The Push-Out Rule [Seite 177]
19.5.5 - The End User Exemption [Seite 177]
19.6 - Criticism of Title VII of the Dodd-Frank Act [Seite 177]
19.7 - Key Points [Seite 178]
19.8 - Knowledge Check [Seite 179]
19.9 - Notes [Seite 180]
20 - Chapter 13: The Basel Accords [Seite 181]
20.1 - Introduction [Seite 181]
20.2 - What Are the Basel Accords? [Seite 181]
20.3 - The Approach of the Basel Accords [Seite 182]
20.4 - Basel I [Seite 183]
20.5 - Basel II [Seite 185]
20.5.1 - Pillar 1: Minimum Capital Requirements [Seite 185]
20.5.2 - Pillar 2: Supervisory Review [Seite 186]
20.5.3 - Pillar 3: Market Discipline [Seite 187]
20.5.4 - Basel II.5 [Seite 187]
20.6 - Basel III [Seite 187]
20.7 - The Continuing Evolution of the Basel Accords [Seite 188]
20.8 - Key Points [Seite 188]
20.9 - Knowledge Check [Seite 189]
20.10 - Notes [Seite 190]
21 - Chapter 14: Lender of Last Resort [Seite 191]
21.1 - Introduction [Seite 191]
21.2 - Lender of Last Resort Concept [Seite 191]
21.3 - Henry Thornton, Walter Bagehot, and Alternative Views [Seite 192]
21.4 - The Fed's Role in the Great Depression [Seite 194]
21.5 - The Credit Crisis of 2007-2009 [Seite 195]
21.6 - Key Points [Seite 196]
21.7 - Knowledge Check [Seite 197]
21.8 - Notes [Seite 198]
22 - Chapter 15: Interconnectedness Risk [Seite 199]
22.1 - Introduction [Seite 199]
22.2 - A Case Study of Interconnectedness [Seite 200]
22.3 - Interconnectedness Categories [Seite 201]
22.3.1 - The Depository Trust & Clearing Corporation [Seite 202]
22.4 - Post-Crisis Regulatory View of Interconnectedness [Seite 203]
22.4.1 - Basel Committee on Banking Supervision [Seite 203]
22.4.2 - Office of Financial Research [Seite 204]
22.4.3 - CPMI IOSCO Principles [Seite 206]
22.5 - An Approach to Analyzing Interconnectedness Risk [Seite 207]
22.5.1 - The Depository Trust & Clearing Corporation [Seite 207]
22.6 - Key Points [Seite 208]
22.7 - Knowledge Check [Seite 209]
22.8 - Notes [Seite 210]
23 - Chapter 16: Conclusion: Looking Ahead [Seite 212]
23.1 - It's Not a Question of If, but When, Where, and How [Seite 214]
23.2 - A Summary of Global Surveys [Seite 214]
23.2.1 - Sources of Systemic Risk [Seite 215]
23.3 - Preparing for the Next Crisis [Seite 216]
23.4 - Notes [Seite 219]
24 - Appendix: Systemic Risk Models [Seite 220]
24.1 - Introduction [Seite 220]
24.2 - Structural versus Reduced-Form Credit Models [Seite 220]
24.3 - Contingent Claims and Default Models [Seite 221]
24.3.1 - Merton versus Garch [Seite 226]
24.3.2 - Studies in Support of Merton [Seite 227]
24.4 - Macroeconomic Measures [Seite 232]
24.5 - Probability Distribution Measures [Seite 233]
24.6 - Illiquidity Measures [Seite 236]
24.7 - Counterparty Risk Measures [Seite 237]
24.8 - Behavioral Models [Seite 239]
24.9 - Notes [Seite 240]
25 - Solutions to the Knowledge Check Questions [Seite 245]
26 - Index [Seite 261]
27 - EULA [Seite 275]

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