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Measures of Systemic Risk [PDF]
SIAM Journal on Financial Mathematics 8 (1), 672-708 (2017), 2015 Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions.
Feinstein, Zachary +2 more
arxiv +8 more sources
Quantifying Systemic Risk [PDF]
IMF Working Papers, 2010 This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory.
Gianni De Nicolò, Marcella Lucchetta
core +38 more sources
The multi-layer network nature of systemic risk and its implications for the costs of financial crises [PDF]
arXiv, 2015 The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked through networks of different types of financial contracts, such as credit, derivatives, foreign exchange and ...
Martínez-Jaramillo, Serafín +4 more
arxiv +4 more sources
Regulating Systemic Risk [PDF]
SSRN Electronic Journal, 2010 The failure to spot emerging systemic risk and prevent the current global financial crisis warrants a reexamination of the approach taken so far to crisis prevention. The paper argues that financial crises can be prevented, as they build up over time due
Masahiro Kawai, Michael Pomerleano
core +9 more sources
Endogenous Systemic Liquidity Risk [PDF]
SSRN Electronic Journal, 2008 Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing, 2007), this paper analyses the adequate policy response to endogenous systemic liquidity risk.
Cao, Jin, Illing, Gerhard
core +12 more sources
Multivariate Shortfall Risk Allocation and Systemic Risk [PDF]
SIAM Journal on Financial Mathematics, 2017 The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of clearing ...
Armenti, Yannick +3 more
core +4 more sources
SSRN Electronic Journal, 2000 This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related ...
De Bandt, Olivier, Hartmann, Philipp
core +5 more sources
Risk Transfer with CDOs and Systemic Risk in Banking [PDF]
SSRN Electronic Journal, 2006 Large banks often sell part of their loan portfolio in the form of collateralized debt obligations (CDO) to investors. In this paper we raise the question whether credit asset securitization affects the cyclicality (or commonality) of bank equity values.
Jan Pieter Krahnen, Christian Wilde
openalex +7 more sources
Measuring and Allocating Systemic Risk [PDF]
Risks, 2019 In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system.
Markus K. Brunnermeier +1 more
doaj +6 more sources