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Quantifying Systemic Risk

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.

Table of Contents


        Joseph G. Haubrich and Andrew W. Lo

Systemic Risk and Financial Innovation: Toward a “Unified” Approach
        Henry T. C. Hu

1. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks
        Sujit Kapadia, Mathias Drehmann, John Elliott, and Gabriel Sterne
Comment Mikhail Oet

2. Endogenous and Systemic Risk
        Jon Danielsson, Hyun Song Shin, and Jean-Pierre Zigrand
Comment Bruce Mizrach
        Terence C. Burnham

3. Systemic Risks and the Macroeconomy
        Gianni De Nicolò and Marcella Lucchetta
Comment Hao Zhou

4. Hedge Fund Tail Risk
        Tobias Adrian, Markus K. Brunnermeier, and Hoai-Luu Q. Nguyen
Comment Ben Craig

5. How to Calculate Systemic Risk Surcharges
        Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson
Comment Mathias Drehmann

6. The Quantification of Systemic Risk and Stability: New Methods and Measures
        Romney B. Duffey
Comment Joseph G. Haubrich

Author Index
Subject Index

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