A Survey of Systemic Risk Analytics
TLDR
The authors provide a survey of 31 quantitative measures of systemic risk in economics and finance literature, chosen to span key themes and issues in systemic risk measurement and management, and present concise definitions of each risk measure -including required inputs, expected outputs, and data requirements -in an extensive appendix.Abstract:
We provide a survey of 31 quantitative measures of systemic risk in the economics and finance literature, chosen to span key themes and issues in systemic risk measurement and management. We motivate these measures from the supervisory, research, and data perspectives in the main text, and present concise definitions of each risk measure - including required inputs, expected outputs, and data requirements - in an extensive appendix. To encourage experimentation and innovation among as broad an audience as possible, we have developed open-source Matlab code for most of the analytics surveyed.read more
Citations
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Systemic Risk and Stability in Financial Networks
Daron Acemoglu,Daron Acemoglu,Daron Acemoglu,Asuman Ozdaglar,Alireza Tahbaz-Salehi,Alireza Tahbaz-Salehi +5 more
TL;DR: In this article, the authors provide a framework for studying the relationship between the financial network architecture and the likelihood of systemic failures due to contagion of counterparty risk, and show that financial contagion exhibits a form of phase transition as interbank connections increase.
Journal ArticleDOI
A Macroprudential Approach to Financial Regulation
Samuel G. Hanson,Anil K. Kashyap,Anil K. Kashyap,Anil K. Kashyap,Jeremy C. Stein,Jeremy C. Stein +5 more
TL;DR: In the aftermath of the 2008 financial crisis, there seems to be agreement among both academics and policymakers that financial regulation needs to move in a macro-prudential direction as discussed by the authors.
Journal ArticleDOI
Volatility, correlation and tails for systemic risk measurement
TL;DR: In this paper, the authors proposed an empirical methodology to measure systemic risk of a financial institution with its contribution to the deterioration of the system capitalization that would be experienced in a crisis.
Journal ArticleDOI
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
TL;DR: Bekaert et al. as mentioned in this paper introduced SRISK, a measure to measure the systemic risk contribution of a financial firm, which is a function of its size, leverage and risk.
References
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