Risk Topography
Systemic Risk and Macro Modeling
288 pages
|
28 line drawings, 14 tables
|
6 x 9
|
© 2014
- Contents
- Review Quotes
Table of Contents
Contents
Acknowledgments
Introduction
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
Contributors
Author Index
Subject Index
Introduction
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
Contributors
Author Index
Subject Index
Review Quotes
Journal of Pension Economics and Finance
“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.”
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Economics and Business: Economics--Econometrics and Statistics | Economics--General Theory and Principles
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