Quantifying Systemic Risk

Hardcover | January 24, 2013

EditorJoseph G. Haubrich, Andrew W. Lo

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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.

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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 ...

Joseph G. Haubrich is vice president of and an economist at the Federal Reserve Bank of Cleveland. Andrew W. Lo is the Harris and Harris Group Professor of Finance and director of the Laboratory for Financial Engineering at the Massachusetts Institute of Technology. He is a research associate of the National Bureau of Economic Research...

other books by Joseph G. Haubrich

Format:HardcoverDimensions:400 pages, 9 × 6 × 1 inPublished:January 24, 2013Publisher:University Of Chicago PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0226319288

ISBN - 13:9780226319285

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Table of Contents

Acknowledgments

Introduction
        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

Contributors
Author Index
Subject Index