5. How to Calculate Systemic Risk Surcharges

Viral V. Acharya; Lasse H. Pedersen; Thomas Philippon; Matthew Richardson

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5. How to Calculate Systemic Risk Surcharges

Viral V. Acharya , Lasse H. Pedersen , Thomas Philippon and Matthew Richardson

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This chapter is in the book Quantifying Systemic Risk

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Acharya, Viral V., Pedersen, Lasse H., Philippon, Thomas and Richardson, Matthew. "5. How to Calculate Systemic Risk Surcharges". Quantifying Systemic Risk, edited by Joseph G. Haubrich and Andrew W. Lo, Chicago: University of Chicago Press, 2013, pp. 175-222. https://doi.org/10.7208/9780226921969-008

Acharya, V., Pedersen, L., Philippon, T. & Richardson, M. (2013). 5. How to Calculate Systemic Risk Surcharges. In J. Haubrich & A. Lo (Ed.), Quantifying Systemic Risk (pp. 175-222). Chicago: University of Chicago Press. https://doi.org/10.7208/9780226921969-008

Acharya, V., Pedersen, L., Philippon, T. and Richardson, M. 2013. 5. How to Calculate Systemic Risk Surcharges. In: Haubrich, J. and Lo, A. ed. Quantifying Systemic Risk. Chicago: University of Chicago Press, pp. 175-222. https://doi.org/10.7208/9780226921969-008

Acharya, Viral V., Pedersen, Lasse H., Philippon, Thomas and Richardson, Matthew. "5. How to Calculate Systemic Risk Surcharges" In Quantifying Systemic Risk edited by Joseph G. Haubrich and Andrew W. Lo, 175-222. Chicago: University of Chicago Press, 2013. https://doi.org/10.7208/9780226921969-008

Acharya V, Pedersen L, Philippon T, Richardson M. 5. How to Calculate Systemic Risk Surcharges. In: Haubrich J, Lo A (ed.) Quantifying Systemic Risk. Chicago: University of Chicago Press; 2013. p.175-222. https://doi.org/10.7208/9780226921969-008

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Chapters in this book

Frontmatter i
Contents ix
Acknowledgments xi
Introduction 1
Systemic Risk and Financial Innovation: Toward a “Unified” Approach 11
1. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks 29
2. Endogenous and Systemic Risk 73
3. Systemic Risks and the Macroeconomy 113
4. Hedge Fund Tail Risk 155
5. How to Calculate Systemic Risk Surcharges 175
6. The Quantifi cation of Systemic Risk and Stability: New Methods and Measures 223
Contributors 265
Author Index 267
Subject Index 271

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https://doi.org/10.7208/9780226921969-008

Chapters in this book

Frontmatter i
Contents ix
Acknowledgments xi
Introduction 1
Systemic Risk and Financial Innovation: Toward a “Unified” Approach 11
1. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks 29
2. Endogenous and Systemic Risk 73
3. Systemic Risks and the Macroeconomy 113
4. Hedge Fund Tail Risk 155
5. How to Calculate Systemic Risk Surcharges 175
6. The Quantifi cation of Systemic Risk and Stability: New Methods and Measures 223
Contributors 265
Author Index 267
Subject Index 271

5. How to Calculate Systemic Risk Surcharges

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