Systemic financial risk:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Paris
OECD
2012
|
| Series: | OECD reviews of risk management policies
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 75 S. graph. Darst. |
| ISBN: | 9783941417939 9789264112728 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Titel: Systemic financial risk
Autor: Thurner, Stefan
Jahr: 2012
Table of contents
Executive summary...................................................................................................................................7
Chapter 1. Introduction.........................................................................................................................13
1.1 What is leverage?.............................................................................................................................13
1.2 The danger of leverage....................................................................................................................15
1.3 Scales of leverage in the financial industry.....................................................................................20
1.4 Scales of leverage on national levels...............................................................................................21
1.5 Failure of economics and the necessity of agent based models.......................................................23
1.6 Secondary impacts and the global context.......................................................................................25
References..............................................................................................................................................26
Chapter 2. A simple agent based model of financial markets............................................................29
2.1 Overview..........................................................................................................................................29
2.2 The specific model economy...........................................................................................................31
2.3 Variables in the agent based model.................................................................................................32
2.4 Price formation................................................................................................................................33
2.5 Uninformed investors (noise traders)...............................................................................................33
2.6 Informed investors (hedge funds)....................................................................................................33
2.7 Investors to investment fund............................................................................................................36
2.8 Setting maximum leverage..............................................................................................................36
2.9 Banks extending leverage to funds..................................................................................................37
2.10 Defaults..........................................................................................................................................37
2.11 Return to hedge fund investors......................................................................................................37
2.12 Simulation procedure.....................................................................................................................38
2.13 Summary of parameters and their default values...........................................................................38
2.14 An ecology of financial agents...................................................................................................39
2.15 Generic results...............................................................................................................................41
References..............................................................................................................................................47
Chapter 3. Evolutionary pressure for increasing leverage.................................................................49
3.1 A demonstration of how markets push for high leverage................................................................49
Chapter 4. How leverage increases volatility.......................................................................................51
4.1 The danger of pro-cyclicality through prudence..............................................................................52
4.2 The process of de-leveraging...........................................................................................................56
References..............................................................................................................................................57
Chapter 5. Leverage and systemic risk: What have we learned?......................................................59
5.1 Triggers for systemic failure............................................................................................................59
5.2 Counter intuitive effects...................................................................................................................59
References..............................................................................................................................................60
Chapter 6. Implications: Future research questions..........................................................................61
6.1 The need for global leverage monitoring.........................................................................................61
6.2 The need for understanding network effects in financial markets...................................................61
6.3 The need for linking ABMs of financial markets to real economy.................................................62
6.4 Systemic risk is not priced into margin requirements......................................................................62
6.5 Extensions to leverage on national levels........................................................................................63
6.6 Data for leverage-based systemic risk on national scales................................................................63
References..............................................................................................................................................64
Chapter 7. Outlook: Transparency for a new generation of risk control.........................................65
7.1 Breaking the spell: need for radical transparency............................................................................65
7.2 Self-regulation through transparency: an alternative regulation scheme.........................................65
7.3 Toward a National Institute of Finance ........................................................................................67
References..............................................................................................................................................68
Chapter 8. Summary..............................................................................................................................69
A. 1 Pathways toward social unrest: Linking financial crisis and social unrest through agent based
frameworks............................................................................................................................................73
A.2 Pathways to social unrest not directly related to financial crisis.....................................................75
References..............................................................................................................................................75
Figures
Figure 2.1. Demand function of an informed investor: Price and demand are determined by the
intersection of the demand functions of noise traders and informed investors.......................35
Figure 2.2. Wealth time series...................................................................................................................39
Figure 2.3. Time series of a informed investor: demand, wealth, leverage, capital flow, loan size and cash
................................................................................................................................................41
Figure 2.4. Average net asset value return of a fund and average mispricing of the asset........................42
Figure 2.5. Distribution of log returns and cumulative density of negative returns conditioned on positive
mispricing...............................................................................................................................43
Figure 2.6. Log-return time series for various levels of leverage in the system........................................45
Figure 2.7. Anatomy of a crash: a tiny fluctuation of the noise traders demand tips the system over the
edge - it collapses....................................................................................................................46
Figure 3.1. Results of a numerical experiment to show market pressure to high leverage levels.............49
Figure 4.1. Comparison between constant maximum leverage and adjustable leverage..........................53
Figure 4.2. Comparison of systemic stability of regulated leverage providers to unregulated ones.........55
Figure 4.3. Comparison of systemic stability of the effect of regulated and unregulated banks on
aggressive and non aggressive ones........................................................................................56
Figure A 1.1. Davies J-curve......................................................................................................................74
Table
Table 2.1. Summary of parameters used in the model..............................................................................32
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| illustrated | Illustrated |
| indexdate | 2024-07-10T00:25:59Z |
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| isbn | 9783941417939 9789264112728 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025381500 |
| oclc_num | 839877651 |
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| owner_facet | DE-M382 DE-355 DE-BY-UBR |
| physical | 75 S. graph. Darst. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | OECD |
| record_format | marc |
| series2 | OECD reviews of risk management policies |
| spelling | Systemic financial risk Paris OECD 2012 75 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier OECD reviews of risk management policies Leverage-Effekt (DE-588)4233251-5 gnd rswk-swf Finanzkrise (DE-588)7635855-0 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Finanzkrise (DE-588)7635855-0 s Kapitalmarkt (DE-588)4029578-3 s Leverage-Effekt (DE-588)4233251-5 s b DE-604 OECD Sonstige (DE-588)5157-3 oth Erscheint auch als Online-Ausgabe, PDF 978-92-64-16771-1 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025381500&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Systemic financial risk Leverage-Effekt (DE-588)4233251-5 gnd Finanzkrise (DE-588)7635855-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4233251-5 (DE-588)7635855-0 (DE-588)4029578-3 |
| title | Systemic financial risk |
| title_auth | Systemic financial risk |
| title_exact_search | Systemic financial risk |
| title_full | Systemic financial risk |
| title_fullStr | Systemic financial risk |
| title_full_unstemmed | Systemic financial risk |
| title_short | Systemic financial risk |
| title_sort | systemic financial risk |
| topic | Leverage-Effekt (DE-588)4233251-5 gnd Finanzkrise (DE-588)7635855-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Leverage-Effekt Finanzkrise Kapitalmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025381500&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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