Systemic Risk Assessment and Oversight (2nd edition)
First published:
ISBN: 9781782724155
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Epilogue
Epilogue
Preface
Why Systemic Risk Oversight Matters
The Bottom-up Approach to Systemic Risk
Fundamental Information and Firm-level Risk
Extracting Risk Measures from Credit Derivatives and Bonds
Equity-implied Methods and Risk-neutrality Transformations
Systemic Risk Measurement: Statistical Methods
CoRisk: Quantile Regressions in Practice
Balance-sheet Network Analysis
The Portfolio-based Approach to Systemic Risk
Advances in Modelling Systemic Risk in Financial Networks
Agent-based Models of the Financial System
The Regulation of Systemic Risk
The Effectiveness of Macroprudential Policy
Epilogue
References
Abbreviations
Test chapter
The aim of this book is to enhance the reader’s understanding of systemic risk by providing quantitative, easy to implement risk measurement tools whose economic intuition and results could be easily interpreted and comprehended by senior management and decision-makers. Such an understanding, however, would have remained incomplete without exposing the reader to the regulatory and policy environment in which risk measurement and risk management operates.
The careful reader will have noticed that the discussion of quantitative methods earlier in the book mirrors closely the transition from microprudential policy to macroprudential policy. We started by examining how to measure the risks of an individual institution and how they could be combined in a portfolio approach to obtain systemic risk measures. This is by no mean an accident, as the idea for this book, and much of the methods and research described and cited here, were born out of trying to bridge the microprudential and macroprudential divide.
The book cannot pay justice to the growing number of proposals and studies originating from academia, the private sector and the policymaking community that are focused on
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