Quantifying systemic risk /
Quantifying systemic risk /
edited by Joseph G. Haubrich and Andrew W. Lo.
- 1 online resource (xi, 273 pages) : illustrations.
- National Bureau of Economic Research conference report .
- National Bureau of Economic Research conference report. .
Includes bibliographical references and indexes.
Introduction / Joseph G. Haubrich and Andrew W. Lo -- Systemic risk and financial innovation : towards a "unified" approach / Henry T.C. Hu -- Liquidity risk, cash flow constraints, and systemic feedbacks / Sujit Kapadia, Mathias Drehmann, John Elliott, and Gabriel Sterne -- Comment: Mikhail Oet -- Endogenous and systemic risk / Jon Danielsson, Hyun Song Shin, and Jean-Pierre Zigrand -- Comment: Bruce Mizrach, Terence C. Burnham -- Systemic risks and the macroeconomy / Gianni De Nicolò and Marcella Lucchetta -- Comment: Hao Zhou -- Hedge fund tail risk / Tobias Adrian, Markus K. Brunnermeier, and Hoai-Luu Nguyen -- Comment: Ben Craig -- How to calculate systemic risk surcharges / Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson -- Comment: Mathias Drehmann -- The quantification of systemic risk and stability: new methods and measures / Romney B. Duffey -- Comment: Joseph G. Haubrich.
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-w.
In English.
0226921964 (electronic bk.) 9780226921969 (electronic bk.) (cloth ; alkaline paper) (cloth ; alkaline paper)
10.7208/9780226921969 doi
Financial risk--Mathematical models--Congresses.
Risk assessment--Congresses.
Operational risk--Congresses.
Risque financier--Modèles mathématiques--Congrès.
Évaluation du risque--Congrès.
Risque opérationnel--Congrès.
BUSINESS & ECONOMICS--Economics--Microeconomics.
Operational risk.
Risk assessment.
Electronic books.
Congress
Electronic books.
Conference papers and proceedings.
Conference papers and proceedings.
Actes de congrès.
HG106 / .Q36 2013
338.5
Includes bibliographical references and indexes.
Introduction / Joseph G. Haubrich and Andrew W. Lo -- Systemic risk and financial innovation : towards a "unified" approach / Henry T.C. Hu -- Liquidity risk, cash flow constraints, and systemic feedbacks / Sujit Kapadia, Mathias Drehmann, John Elliott, and Gabriel Sterne -- Comment: Mikhail Oet -- Endogenous and systemic risk / Jon Danielsson, Hyun Song Shin, and Jean-Pierre Zigrand -- Comment: Bruce Mizrach, Terence C. Burnham -- Systemic risks and the macroeconomy / Gianni De Nicolò and Marcella Lucchetta -- Comment: Hao Zhou -- Hedge fund tail risk / Tobias Adrian, Markus K. Brunnermeier, and Hoai-Luu Nguyen -- Comment: Ben Craig -- How to calculate systemic risk surcharges / Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson -- Comment: Mathias Drehmann -- The quantification of systemic risk and stability: new methods and measures / Romney B. Duffey -- Comment: Joseph G. Haubrich.
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-w.
In English.
0226921964 (electronic bk.) 9780226921969 (electronic bk.) (cloth ; alkaline paper) (cloth ; alkaline paper)
10.7208/9780226921969 doi
Financial risk--Mathematical models--Congresses.
Risk assessment--Congresses.
Operational risk--Congresses.
Risque financier--Modèles mathématiques--Congrès.
Évaluation du risque--Congrès.
Risque opérationnel--Congrès.
BUSINESS & ECONOMICS--Economics--Microeconomics.
Operational risk.
Risk assessment.
Electronic books.
Congress
Electronic books.
Conference papers and proceedings.
Conference papers and proceedings.
Actes de congrès.
HG106 / .Q36 2013
338.5