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Quantifying Systemic Risk
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Edited by:
Joseph G. Haubrich
Language:
English
Published/Copyright:
2013
About this book
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 / Editor information
Joseph G. Haubrich is vice president of and an economist at the Federal Reserve Bank of Cleveland. Andrew W. Lo is the Harris and Harris Group Professor of Finance and director of the Laboratory for Financial Engineering at the Massachusetts Institute of Technology. He is a research associate of the National Bureau of Economic Research.
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Frontmatter
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Contents
ix -
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Acknowledgments
xi -
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Introduction
1 -
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Systemic Risk and Financial Innovation: Toward a “Unified” Approach
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1. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks
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2. Endogenous and Systemic Risk
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3. Systemic Risks and the Macroeconomy
113 -
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4. Hedge Fund Tail Risk
155 -
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5. How to Calculate Systemic Risk Surcharges
175 -
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6. The Quantifi cation of Systemic Risk and Stability: New Methods and Measures
223 -
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Contributors
265 -
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Author Index
267 -
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Subject Index
271
Publishing information
Pages and Images/Illustrations in book
eBook published on:
January 24, 2013
eBook ISBN:
9780226921969
Pages and Images/Illustrations in book
Main content:
400
Other:
65 line dawings, 26 tables
eBook ISBN:
9780226921969
Keywords for this book
economics; economy; microeconomics; macroeconomics; money; wealth; power; free markets; capitalism; finance; federal reserve bank; banking systems; economic research; technology; society; sociology; politics; political science; financial crisis; regulatory reforms; systemic risk; social welfare perspective; system-wide persepective; quantitative measures; shocks; liquidity; assessment; mathematical models; innovation; hedge funds; cash flow constraints
Audience(s) for this book
Professional and scholarly;
