Systemic Risk Modeling How Theory Can Meet Statistics
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Systemic Risk Modeling How Theory Can Meet Statistics
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Author : Mr.Raphael A Espinoza
language : en
Publisher: International Monetary Fund
Release Date : 2020-03-13
Systemic Risk Modeling How Theory Can Meet Statistics written by Mr.Raphael A Espinoza and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-03-13 with Business & Economics categories.
We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire sales, and a “Minsky" cycle of optimism. The empirical model uses stock market and CDS spreads data to estimate a multivariate density of equity returns and to compute the expected equity return for each bank, conditional on a bad macro-outcome. Theses “cross-sectional" moments are used to re-calibrate the theoretical model and estimate the importance of the Minsky cycle of optimism in driving systemic risk.
Quantifying Systemic Risk
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Author : Joseph G. Haubrich
language : en
Publisher: University of Chicago Press
Release Date : 2013-01-24
Quantifying Systemic Risk written by Joseph G. Haubrich and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-24 with Business & Economics categories.
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.
Risk Topography
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Author : Markus Brunnermeier
language : en
Publisher: University of Chicago Press
Release Date : 2014-08-14
Risk Topography written by Markus Brunnermeier and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-14 with Business & Economics categories.
The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.
Contagion Systemic Risk In Financial Networks
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Author : T. R. Hurd
language : en
Publisher: Springer
Release Date : 2016-05-25
Contagion Systemic Risk In Financial Networks written by T. R. Hurd and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-25 with Mathematics categories.
This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises may be better understood by bringing to bear ideas from studying other complex systems in our world. After considering how people have viewed financial crises and systemic risk in the past, it delves into the mechanics of the interactions between banking counterparties. It finds a common mathematical structure for types of crises that proceed through cascade mappings that approach a cascade equilibrium. Later chapters follow this theme, starting from the underlying random skeleton graph, developing into the theory of bootstrap percolation, ultimately leading to techniques that can determine the large scale nature of contagious financial cascades.
The Handbook Of Global Shadow Banking Volume I
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Author : Luc Nijs
language : en
Publisher: Springer Nature
Release Date : 2020-06-30
The Handbook Of Global Shadow Banking Volume I written by Luc Nijs and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-30 with Business & Economics categories.
This global handbook provides an up-to-date and comprehensive overview of shadow banking, or market-based finance as it has been recently coined. Engaging in financial intermediary services outside of normal regulatory parameters, the shadow banking sector was arguably a critical factor in causing the 2007-2009 financial crisis. This volume focuses specifically on shadow banking activities, risk, policy and regulatory issues. It evaluates the nexus between policy design and regulatory output around the world, paying attention to the concept of risk in all its dimensions—the legal, financial, market, economic and monetary perspectives. Particular attention is given to spillover risk, contagion risk and systemic risk and their positioning and relevance in shadow banking activities. Newly introduced and incoming policies are evaluated in detail, as well as how risk is managed, observed and assessed, and how new regulation can potentially create new sources of risk. Volume I concludes with analysis of what will and still needs to happen in the event of another crisis. Proposing innovative suggestions for improvement, including a novel Pigovian tax to tame financial and systemic risks, this handbook is a must-read for professionals and policy-makers within the banking sector, as well as those researching economics and finance.
Bridging Microeconomics And Macroeconomics And The Effects On Economic Development And Growth
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Author : Kostis, Pantelis C.
language : en
Publisher: IGI Global
Release Date : 2020-10-30
Bridging Microeconomics And Macroeconomics And The Effects On Economic Development And Growth written by Kostis, Pantelis C. and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-30 with Business & Economics categories.
In recent decades, the mainstream microeconomic and macroeconomic analysis was proven to be insufficient for exploring the dynamic and complex interactions among humans, institutions, and nature in our real economy. On the one side, microeconomics is filled with black-box models that fail to study the actual contractual relations between firms and markets, while on the other side macroeconomics were proven useless because they mistook the beauty of theoretical models for truth. Thus, questions have arisen about using new theoretical and empirical structures that would better describe our economic systems. Bridging Microeconomics and Macroeconomics and the Effects on Economic Development and Growth is an essential reference source that analyzes the hypotheses that govern the relationships of aggregate structures (macroeconomic analysis) that may be compatible with the assumptions that govern the behavior of individuals, households, and firms (micro analysis), and vice versa, in trying to achieve sustainable economic development and growth. Moreover, modern evolutionary growth thinking is used in trying to bridge the inconsistencies between microeconomics and macroeconomics and confront their failures in order to better describe the economic reality. While highlighting a broad range of topics including globalization, economic systems, and the role of institutions, this book is aimed toward economic analysts, financial advisors, policymakers, researchers, academicians, and students.
Research Anthology On Macroeconomics And The Achievement Of Global Stability
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Author : Management Association, Information Resources
language : en
Publisher: IGI Global
Release Date : 2022-08-05
Research Anthology On Macroeconomics And The Achievement Of Global Stability written by Management Association, Information Resources and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-08-05 with Business & Economics categories.
The COVID-19 pandemic has shocked economies around the world and created an era of global instability. As the pandemic comes to a close, it is essential to examine global economies in order to achieve and maintain global stability. By maintaining global stability, the world may be prepared for future economic shocks. The Research Anthology on Macroeconomics and the Achievement of Global Stability discusses the emerging opportunities, challenges, and strategies within the field of macroeconomics. It features advancements in the field that encourage global economic stability. Covering topics such as Islamic banking, international trade, and Econophysics, this major reference work is an ideal resource for economists, government leaders and officials, business leaders and executives, finance professionals, students and educators of higher education, librarians, researchers, and academicians.
Handbook Of Financial Stress Testing
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Author : J. Doyne Farmer
language : en
Publisher:
Release Date : 2022-04-14
Handbook Of Financial Stress Testing written by J. Doyne Farmer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-14 with Business & Economics categories.
Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.
Handbook On Systemic Risk
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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-23
Handbook On Systemic Risk written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-23 with Mathematics categories.
The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Systemic Banking Crises Revisited
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Author : Mr.Luc Laeven
language : en
Publisher: International Monetary Fund
Release Date : 2018-09-14
Systemic Banking Crises Revisited written by Mr.Luc Laeven and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-14 with Business & Economics categories.
This paper updates the database on systemic banking crises presented in Laeven and Valencia (2008, 2013). Drawing on 151 systemic banking crises episodes around the globe during 1970-2017, the database includes information on crisis dates, policy responses to resolve banking crises, and the fiscal and output costs of crises. We provide new evidence that crises in high-income countries tend to last longer and be associated with higher output losses, lower fiscal costs, and more extensive use of bank guarantees and expansionary macro policies than crises in low- and middle-income countries. We complement the banking crises dates with sovereign debt and currency crises dates to find that sovereign debt and currency crises tend to coincide or follow banking crises.