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Risk Topography

Systemic Risk and Macro Modeling

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.


“The existing economic measurement system was not successful in detecting in the financial sector the vulnerability and the build-up of bubbles leading up to the crisis. In this respect, Risk Topography provides an invaluable contribution by examining ways of designing systems which provide better measurement of systemic risk factors. . . . [The] book provides a rich resource for policymakers as well as academic researchers.”

Journal of Pension Economics and Finance

Table of Contents


Markus Brunnermeier and Arvind Krishnamurthy

I. Measurement and Disclosure

1. Challenges in Identifying and Measuring Systemic Risk
Lars Peter Hansen

2. Regulating Systemic Risk through Transparency: Trade-Offs in Making Data Public
Augustin Landier and David Thesmar

II. Risk Exposures

3. Systemic Risk Exposures: A 10-by-10-by-10 Approach
Darrell Duffie

4. Remapping the Flow of Funds
Juliane Begenau, Monika Piazzesi, and Martin Schneider

5. Measuring Margin
Robert L. McDonald

6. A Transparency Standard for Derivatives
Viral V. Acharya

III. Liquidity and Leverage

7. Liquidity Mismatch Measurement
Markus Brunnermeier, Arvind Krishnamurthy, and Gary Gorton

8. Monitoring Leverage
John Geanakoplos and Lasse Heje Pedersen

IV. Financial Intermediation and Credit

9. Repo and Securities Lending
Tobias Adrian, Brian Begalle, Adam Copeland, and Antoine Martin

10. Improving Our Ability to Monitor Bank Lending
William F. Bassett, Simon Gilchrist, Gretchen C. Weinbach, and Egon Zakrajšek

11. The Case for a Credit Registry
Atif Mian

V. Household Sector

12. Monitoring the Financial Condition and Expenditures of Households
Robert E. Hall

13. LEADS on Macroeconomic Risks to and from the Household Sector
Jonathan A. Parker

14. Detecting “Bad” Leverage
Amir Sufi

VI. Corporate Sector

15. A Macroeconomist’s Wish List of Financial Data
V. V. Chari

VII. International Sector

16. Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?
Eugenio Cerutti, Stijn Claessens, and Patrick McGuire

Author Index
Subject Index

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