Systemic Risk History Measurement And Regulation

Author : Kreis Yvonne,Leisen Dietmar,Ponce Jorge
Publisher : World Scientific
Page : 196 pages
File Size : 52,7 Mb
Release : 2019-06-04
Category : Business & Economics
ISBN : 9789811201073

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Systemic Risk: History, Measurement And Regulation by Kreis Yvonne,Leisen Dietmar,Ponce Jorge Pdf

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.

Author : Yvonne Kreis,Dietmar Leisen,Jorge Ponce
Publisher : Unknown
Page : 197 pages
File Size : 46,9 Mb
Release : 2019
Category : BUSINESS & ECONOMICS
ISBN : 9811201064

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Systemic Risk by Yvonne Kreis,Dietmar Leisen,Jorge Ponce Pdf

Author : Joseph G. Haubrich,Andrew W. Lo
Publisher : University of Chicago Press
Page : 286 pages
File Size : 44,5 Mb
Release : 2013-01-24
Category : Business & Economics
ISBN : 9780226921969

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Quantifying Systemic Risk by Joseph G. Haubrich,Andrew W. Lo Pdf

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.

Author : Aron Gottesman,Michael Leibrock
Publisher : John Wiley & Sons
Page : 277 pages
File Size : 42,9 Mb
Release : 2017-06-26
Category : Business & Economics
ISBN : 9781119348504

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Understanding Systemic Risk in Global Financial Markets by Aron Gottesman,Michael Leibrock Pdf

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.

Author : Xavier Freixas,Luc Laeven,Jose-Luis Peydro
Publisher : MIT Press
Page : 487 pages
File Size : 43,7 Mb
Release : 2023-08-22
Category : Business & Economics
ISBN : 9780262549011

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Systemic Risk, Crises, and Macroprudential Regulation by Xavier Freixas,Luc Laeven,Jose-Luis Peydro Pdf

A framework for macroprudential regulation that defines systemic risk and macroprudential policy, describes macroprudential tools, and surveys the effectiveness of existing macroprudential regulation. The recent financial crisis has shattered all standard approaches to banking regulation. Regulators now recognize that banking regulation cannot be simply based on individual financial institutions' risks. Instead, systemic risk and macroprudential regulation have come to the forefront of the new regulatory paradigm. Yet our knowledge of these two core aspects of regulation is still limited and fragmented. This book offers a framework for understanding the reasons for the regulatory shift from a microprudential to a macroprudential approach to financial regulation. It defines systemic risk and macroprudential policy, cutting through the generalized confusion as to their meaning; contrasts macroprudential to microprudential approaches; discusses the interaction of macroprudential policy with macroeconomic policy (monetary policy in particular); and describes macroprudential tools and experiences with macroprudential regulation around the world. The book also considers the remaining challenges for establishing effective macroprudential policy and broader issues in regulatory reform. These include the optimal size and structure of the financial system, the multiplicity of regulatory bodies in the United States, the supervision of cross-border financial institutions, and the need for international cooperation on macroprudential policies.

Author : Deyan Radev
Publisher : Springer Nature
Page : 94 pages
File Size : 48,5 Mb
Release : 2022-02-07
Category : Technology & Engineering
ISBN : 9783030942816

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Measuring Systemic Risk by Deyan Radev Pdf

This book provides a comprehensive methodology to measure systemic risk in many of its facets and dimensions based on state-of-the-art risk assessment methods. Systemic risk has gained attention in the public eye since the collapse of Lehman Brothers in 2008. The bankruptcy of the fourth-biggest bank in the USA raised questions whether banks that are allowed to become “too big to fail” and “too systemic to fail” should carry higher capital surcharges on their size and systemic importance. The Global Financial Crisis of 2008-2009 was followed by the Sovereign Debt Crisis in the euro area that saw the first Eurozone government de facto defaulting on its debt and prompted actions at international level to stem further domino and cascade effects to other Eurozone governments and banks. Against this backdrop, a careful measurement of systemic risk is of utmost importance for the new capital regulation to be successful and for sovereign risk to remain in check. Most importantly, the book introduces a number of systemic fragility indicators for banks and sovereigns that can help to assess systemic risk and the impact of macroprudential and microprudential policies.

Author : Mark Carey,René M. Stulz
Publisher : University of Chicago Press
Page : 670 pages
File Size : 55,5 Mb
Release : 2007-11-01
Category : Business & Economics
ISBN : 9780226092980

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The Risks of Financial Institutions by Mark Carey,René M. Stulz Pdf

Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.

Author : Kern Alexander,Rahul Dhumale,John Eatwell
Publisher : Oxford University Press on Demand
Page : 329 pages
File Size : 46,5 Mb
Release : 2006
Category : Business & Economics
ISBN : 9780195166989

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Global Governance of Financial Systems by Kern Alexander,Rahul Dhumale,John Eatwell Pdf

The book sets forth the economic rationale for international financial regulation and what role, if any, international regulation can play in effectively managing systemic risk while providing accountability to all affected nations. The book suggests that a particular type of global governance structure is necessary to have more efficient regulation of the international financial system.

Author : Jean-Pierre Fouque,Joseph A. Langsam
Publisher : Cambridge University Press
Page : 993 pages
File Size : 40,6 Mb
Release : 2013-05-23
Category : Business & Economics
ISBN : 9781107023437

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Handbook on Systemic Risk by Jean-Pierre Fouque,Joseph A. Langsam Pdf

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.

Author : National Research Council,Division on Engineering and Physical Sciences,Board on Mathematical Sciences and Their Applications
Publisher : National Academies Press
Page : 28 pages
File Size : 48,8 Mb
Release : 2010-02-25
Category : Political Science
ISBN : 9780309149600

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Technical Capabilities Necessary for Regulation of Systemic Financial Risk by National Research Council,Division on Engineering and Physical Sciences,Board on Mathematical Sciences and Their Applications Pdf

The financial reform plans currently under discussion in the United States recognize the need for monitoring and regulating systemic risk in the financial sector. To inform those discussions, the National Research Council held a workshop on November 3, 2009, to identify the major technical challenges to building such a capability. The workshop, summarized in this volume, addressed the following key issues as they relate to systemic risk: What data and analytical tools are currently available to regulators to address this challenge? What further data-collection and data-analysis capabilities are needed? What specific resource needs are required to accomplish the task? What are the major technical challenges associated with systemic risk regulation? What are various options for building these capabilities? Because every systemic event is unique with respect to its specific pathologyâ€"the various triggers and the propagation of effectsâ€"the workshop focused on the issues listed above for systemic risk in general rather than for any specific scenario. Thus, by design, the workshop explicitly addressed neither the causes of the current crisis nor policy options for reducing risk, and it attempted to steer clear of some policy issues altogether (such as how to allocate new supervisory responsibilities). More than 40 experts representing diverse perspectives participated in the workshop.

Author : Oliviero Roggi
Publisher : World Scientific
Page : 519 pages
File Size : 43,9 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814417501

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Managing and Measuring of Risk by Oliviero Roggi Pdf

This volume presents the most recent achievements in risk measurement and management, as well as regulation of the financial industry, with contributions from prominent scholars and practitioners, and provides a comprehensive overview of recent emerging standards in risk management from an interdisciplinary perspective.

Author : Malcolm H.D. Kemp
Publisher : Palgrave Macmillan
Page : 0 pages
File Size : 47,9 Mb
Release : 2018-09-15
Category : Business & Economics
ISBN : 1349849995

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Systemic Risk by Malcolm H.D. Kemp Pdf

Systemic Risk provides readers with a wide-ranging practical guide to systemic risk in the financial system. It challenges the notion that systemic risk is exclusively about interconnectivities within the financial system, showing that past systemic risk crises have often involved a broader range of vulnerabilities. It describes how regulators and governments are seeking to manage systemic risk, and how their concerns are driving change in regulatory and business environments across the financial sector. It sets out how firms and practitioners can effectively respond to these changes (covering topics such as data needs, quantification of risk exposures, management disciplines and skillset requirements etc.). It highlights the sources and characteristics of systemic risk and the concentrations of exposures to this risk. It also links systemic risk with other risk disciplines including exploring how systemic risk ties in with liquidity risk and credit risk and how it interacts with central clearing, collateralisation and pricing of derivatives.

Author : Markus Brunnermeier,Arvind Krishnamurthy
Publisher : University of Chicago Press
Page : 288 pages
File Size : 54,8 Mb
Release : 2014-10-17
Category : Business & Economics
ISBN : 9780226092645

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Risk Topography by Markus Brunnermeier,Arvind Krishnamurthy Pdf

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.

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 53,7 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Mr.Raphael A Espinoza,Miguel A. Segoviano,Ji Yan
Publisher : International Monetary Fund
Page : 39 pages
File Size : 55,7 Mb
Release : 2020-03-13
Category : Business & Economics
ISBN : 9781513536170

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Systemic Risk Modeling: How Theory Can Meet Statistics by Mr.Raphael A Espinoza,Miguel A. Segoviano,Ji Yan Pdf

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.