Risk measurement and systemic risk:
Gespeichert in:
| Format: | Tagungsbericht Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Europ. Central Bank
2007
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | 381 S. graph. Darst. 30 cm |
Internformat
MARC
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| 245 | 1 | 0 | |a Risk measurement and systemic risk |c Fourth Joint Central Bank Research Conference, 8 - 9 November 2005. In co-operation with the Committee on the Global Financial System. European Central Bank ; Eurosystem |
| 264 | 1 | |a Frankfurt am Main |b Europ. Central Bank |c 2007 | |
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Datensatz im Suchindex
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|---|---|
| adam_text | TABLE
OF
CONTENTS
PREFACE
З
RISK MEASUREMENT AND SYSTEMIC RISK:
A SUMMARY
7
PART I
OPENING REMARKS, CONCLUDING REMARKS
AND DINNER ADDRESS
Opening remarks
Otmar Issing 1
4
Dinner speech
André Icard
23
Closing remarks
Lucrezia Reichlin
30
PART
2
POLICY PANEL
The policy implications of credit
derivatives and structured finance:
some issues to be resolved
Lucas Papademos
38
Policy implications of the development
of credit derivatives and structured
finance
Eiji Hirano
43
Financial regulation: seeking the
middle way
Roger W. Ferguson, jr.
5
I
PART
3
PAPERS
63
SESSION I
NON-BANK FINANCIAL
INSTITUTION AND SYSTEMIC RISK
Systemic risk and hedge funds
Nicholas Chan,
Mila Getmansky,
Shane M. Haas and Andrew W.
Lo
65
Summary of managerial incentives
and financial contagion
Sujit Chakravorti and
Subir
Lall 68
Liquidity coinsurance, moral hazard
and financial contagion
Sandro Brusco
and
Fabio Castiglionesi
74
SESSION
2
LIQUIDITY RISK AND CONTAGION
The interbank payment system following
wide-scale disruptions
Morten L. Bech
76
Liquidity risk in securities settlement
Johan
Devriese and Janet Mitchell
80
Contagion via interbank markets:
a survey
Jose-Luis Peydro-Alcalde
8
1
SESSION
3
CREDIT RISK TRANSFER AND TRADING
IN CREDIT MARKETS
Explaining credit default swap spreads
with the equity volatility and jump risks of
individual firms
Benjamin Yi-bin Zhang, Hao Zhou
and Haibin Zhu
9
1
Insider trading in credit derivatives
Viral V.Acharya and
Timothy
С
Johnson
92
Frictions in the markets for corporate debt
and credit derivatives
Andrew Levin, Roberto
Perli
and
Egon Zakrajšek
93
SESSION
4
SYSTEMIC RISK ACROSS
COUNTRIES
Banking system stability:
a cross-atlantic perspective
Philipp Hartmann,
Stefan Straetmans
and Casper
de Vries
1
22
Estimating systemic risk in the
international financial system
Söhnke
M.
Bartram,
Gregory
W.
Brown
and John
E.
Hund 210
A large speculator in contagious currency
crises: a single George Soros makes
countries more vulnerable to crises, but
mitigates contagion
KenshiTaketa
219
SESSION 5
RISK MEASUREMENT AND MARKET
DYNAMICS
Bank credit risk, common factors, and
interdependence of credit risk in money
markets
Naohiko
Baba
and Shinichi Nishioka
228
Firm heterogeneity and credit risk
diversification
Samuel G. Hanson, M. Hashem
Pesaran
and Til Schuermann
280
Evaluating value-at-risk models with
desk-level data
Jeremy Berkowitz, Peter
Christoffersen
and Denis
Pelletier 28
1
SESSION
6
STRESS TESTING AND FINANCIAL
STABILITY POLICY
Non-linearities and stress testing
Mathias Drehmann,
Andrew
J.
Patton
and
Steffen Sorensen 283
Exploring interactions between real
activity and the financial stance
Tor
Jacobson,
Jesper
Lindé
and
Kasper Roszbach
309
Selected indicators of financial stability
William R. Nelson and Roberto
Perli
343
ANNEXES
1 CONFERENCE PROGRAMME
374
2
LIST OF PARTICIPANTS
378
|
| adam_txt |
TABLE
OF
CONTENTS
PREFACE
З
RISK MEASUREMENT AND SYSTEMIC RISK:
A SUMMARY
7
PART I
OPENING REMARKS, CONCLUDING REMARKS
AND DINNER ADDRESS
Opening remarks
Otmar Issing 1
4
Dinner speech
André Icard
23
Closing remarks
Lucrezia Reichlin
30
PART
2
POLICY PANEL
The policy implications of credit
derivatives and structured finance:
some issues to be resolved
Lucas Papademos
38
Policy implications of the development
of credit derivatives and structured
finance
Eiji Hirano
43
Financial regulation: seeking the
middle way
Roger W. Ferguson, jr.
5
I
PART
3
PAPERS
63
SESSION I
NON-BANK FINANCIAL
INSTITUTION AND SYSTEMIC RISK
Systemic risk and hedge funds
Nicholas Chan,
Mila Getmansky,
Shane M. Haas and Andrew W.
Lo
65
Summary of managerial incentives
and financial contagion
Sujit Chakravorti and
Subir
Lall 68
Liquidity coinsurance, moral hazard
and financial contagion
Sandro Brusco
and
Fabio Castiglionesi
74
SESSION
2
LIQUIDITY RISK AND CONTAGION
The interbank payment system following
wide-scale disruptions
Morten L. Bech
76
Liquidity risk in securities settlement
Johan
Devriese and Janet Mitchell
80
Contagion via interbank markets:
a survey
Jose-Luis Peydro-Alcalde
8
1
SESSION
3
CREDIT RISK TRANSFER AND TRADING
IN CREDIT MARKETS
Explaining credit default swap spreads
with the equity volatility and jump risks of
individual firms
Benjamin Yi-bin Zhang, Hao Zhou
and Haibin Zhu
9
1
Insider trading in credit derivatives
Viral V.Acharya and
Timothy
С
Johnson
92
Frictions in the markets for corporate debt
and credit derivatives
Andrew Levin, Roberto
Perli
and
Egon Zakrajšek
93
SESSION
4
SYSTEMIC RISK ACROSS
COUNTRIES
Banking system stability:
a cross-atlantic perspective
Philipp Hartmann,
Stefan Straetmans
and Casper
de Vries
1
22
Estimating systemic risk in the
international financial system
Söhnke
M.
Bartram,
Gregory
W.
Brown
and John
E.
Hund 210
A large speculator in contagious currency
crises: a single "George Soros" makes
countries more vulnerable to crises, but
mitigates contagion
KenshiTaketa
219
SESSION 5
RISK MEASUREMENT AND MARKET
DYNAMICS
Bank credit risk, common factors, and
interdependence of credit risk in money
markets
Naohiko
Baba
and Shinichi Nishioka
228
Firm heterogeneity and credit risk
diversification
Samuel G. Hanson, M. Hashem
Pesaran
and Til Schuermann
280
Evaluating value-at-risk models with
desk-level data
Jeremy Berkowitz, Peter
Christoffersen
and Denis
Pelletier 28
1
SESSION
6
STRESS TESTING AND FINANCIAL
STABILITY POLICY
Non-linearities and stress testing
Mathias Drehmann,
Andrew
J.
Patton
and
Steffen Sorensen 283
Exploring interactions between real
activity and the financial stance
Tor
Jacobson,
Jesper
Lindé
and
Kasper Roszbach
309
Selected indicators of financial stability
William R. Nelson and Roberto
Perli
343
ANNEXES
1 CONFERENCE PROGRAMME
374
2
LIST OF PARTICIPANTS
378 |
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| id | DE-604.BV035058178 |
| illustrated | Illustrated |
| index_date | 2024-07-02T21:59:24Z |
| indexdate | 2024-07-09T21:21:14Z |
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| physical | 381 S. graph. Darst. 30 cm |
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| spelling | Risk measurement and systemic risk Fourth Joint Central Bank Research Conference, 8 - 9 November 2005. In co-operation with the Committee on the Global Financial System. European Central Bank ; Eurosystem Frankfurt am Main Europ. Central Bank 2007 381 S. graph. Darst. 30 cm txt rdacontent n rdamedia nc rdacarrier Literaturangaben Risiko (DE-588)4050129-2 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2005 Frankfurt am Main gnd-content Risiko (DE-588)4050129-2 s Messung (DE-588)4038852-9 s DE-604 Europäische Zentralbank Sonstige (DE-588)5287962-8 oth Joint Central Bank Research Conference on Risk Measurement and Systemic Risk 4 2005 Frankfurt, Main Sonstige (DE-588)10175463-2 oth Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016726726&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Risk measurement and systemic risk Risiko (DE-588)4050129-2 gnd Messung (DE-588)4038852-9 gnd |
| subject_GND | (DE-588)4050129-2 (DE-588)4038852-9 (DE-588)1071861417 |
| title | Risk measurement and systemic risk |
| title_auth | Risk measurement and systemic risk |
| title_exact_search | Risk measurement and systemic risk |
| title_exact_search_txtP | Risk measurement and systemic risk |
| title_full | Risk measurement and systemic risk Fourth Joint Central Bank Research Conference, 8 - 9 November 2005. In co-operation with the Committee on the Global Financial System. European Central Bank ; Eurosystem |
| title_fullStr | Risk measurement and systemic risk Fourth Joint Central Bank Research Conference, 8 - 9 November 2005. In co-operation with the Committee on the Global Financial System. European Central Bank ; Eurosystem |
| title_full_unstemmed | Risk measurement and systemic risk Fourth Joint Central Bank Research Conference, 8 - 9 November 2005. In co-operation with the Committee on the Global Financial System. European Central Bank ; Eurosystem |
| title_short | Risk measurement and systemic risk |
| title_sort | risk measurement and systemic risk |
| topic | Risiko (DE-588)4050129-2 gnd Messung (DE-588)4038852-9 gnd |
| topic_facet | Risiko Messung Konferenzschrift 2005 Frankfurt am Main |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016726726&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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