Quantifying Systemic Risk
1st Edition
Published on 24. January 2013
267 pages
978-0-226-92196-9 (ISBN)
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.
More details
Other editions
Additional editions
Joseph G. Haubrich | Andrew W. Lo
Quantifying Systemic Risk
Book
01/2013
University of Chicago Press
€118.23
Shipment within 10-20 days
Content
- Intro
- Contents
- Acknowledgments
- Introduction - Joseph G. Haubrich and Andrew W. Lo
- Systemic Risk and Financial Innovation: Toward a "Unified" Approach - Henry T. C. Hu
- 1. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks - Sujit Kapadia, Mathias Drehmann, John Elliott, and Gabriel Sterne
- Comment: Mikhail V. Oet
- 2. Endogenous and Systemic Risk - Jon Danielsson, Hyun Song Shin,and Jean-Pierre Zigrand
- Comment: Bruce Mizrach
- Comment: Terence C. Burnham
- 3. Systemic Risks and the Macroeconomy - Gianni De Nicolò and Marcella Lucchetta
- Comment: Hao Zhou
- 4. Hedge Fund Tail Risk - Tobias Adrian, Markus K. Brunnermeier, and Hoai-Luu Q. Nguyen
- Comment: Ben Craig
- 5. How to Calculate Systemic Risk Surcharges - Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson
- Comment: Mathias Drehmann
- 6. The Quantification of Systemic Risk and Stability: New Methods and Measures - Romney B. Duffey
- Comment: Joseph G. Haubrich
- Contributors
- Author Index
- Subject Index
