Handbook on systemic risk:
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge University Press
2013
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | XXVIII, 964 S. Ill., graph. Darst. |
| ISBN: | 1107023432 9781107023437 |
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Datensatz im Suchindex
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|---|---|
| adam_text | Titel: Handbook on systemic risk
Autor: Fouque, Jean-Pierre
Jahr: 2013
Contents
Contributors page xv
Introduction xx
PART I: DATA: THE PREREQUISITE FOR MANAGING
SYSTEMIC RISK 1
Data for Systemic Risk 3
H. V. Jagadish
Systemic Risk Information Requirements: Current Environment,
Needs, and Approaches for Development 9
Edward T. Hida II
1.1 Introduction 9
1.2 Purpose 10
1.3 Overview of types of systemic risk information required 10
1.4 Overview of the financial landscape 14
1.5 Observations on the state of financial data within financial
institutions 24
1.6 The challenge ahead for systemic risk information collection 28
1.7 Paths for collection of systemic risk information 30
1.8 Conclusions 32
Bibliography 36
Aligning Models and Data for Systemic Risk Analysis 37
Roger M. Stein
2.1 Introduction 37
2.2 Data aggregation and statistical inference: at what level of
detail should data be collected? 42
2.3 Data linkage 45
2.4 Aligning data and models 51
2.5 A brief comment on confidentiality, anonymization and the
role of consortia 56
2.6 Conclusion 60
Bibliography 62
Applying FpML 66
Andrew Jacobs and Marc Gratacos
3.1 Introduction 66
3.2 Inside FpML 72
3.3 Application to systemic risk 87
3.4 Conclusions 91
Bibliography 92
Data Integration for Systemic Risk in the Financial System 93
Arnon Rosenthal and Len Seligman
4.1 The systemic risk data integration challenge 93
4.2 Data integration task model 100
4.3 Standards for data exchange 102
4.4 Tools for reconciling heterogeneity 110
4.5 Research questions 115
4.6 Conclusions 120
Bibliography 121
Semantics in Systemic Risk Management 123
Mike Aikin and Mike Bennett
5.1 Dealing with semantics 125
5.2 Creating an ontology 132
5.3 Semantic technology applications 142
5.4 Operational data 144
5.5 Summary 145
5.6 The financial industry business ontology 147
5.7 FIBO and systemic risk 153
Bibliography 158
PART II: STATISTICS AND SYSTEMIC RISK 161
Statistics and Systemic Risk 163
John Liechty
Statistical Assessments of Systemic Risk Measures 165
Carole Bernard, Eike Christian Brechmann and Claudia Czado
6.1 Introduction and background on systemic risk 165
6.2 CoVaR 167
6.3 Marginal Expected Shortfall 170
6.4 Other tail dependence measures 173
6.5 Conclusions alternative systemic measure 176
Bibliography 178
Regime Switching Models and Risk Measurement Tools 180
John Liechty
7.1 Introduction 181
7.2 Using regime shifting models with historical data 182
7.3 Using forward-looking data 187
7.4 Conclusions 188
Bibliography 189
PART III: MEASURING AND REGULATING SYSTEMIC
RISK 191
Measuring and Regulating Systemic Risk 193
Viral V. Acharya
Measuring Systemic Risk 196
Viral V. Acharya, Christian Brownlees, Robert Engle,
Farhang Farazmand, and Matthew Richardson
8.1 The Dodd-Frank Wall Street reform and Consumer Protec-
tion Act 198
8.2 Evaluation of the Dodd-Frank Act 203
8.3 NYU Stern systemic risk rankings 208
Bibliography 224
Taxing Systemic Risk 226
Viral V. Acharya, Lasse Pedersen, Thomas Philippon, and
Matthew Richardson
9.1 Systemic risk and the financial crisis of 2007 to 2009 226
9.2 Regulating systemic risk 229
9.3 The Dodd-Frank Wall Street reforms and Consumer Protec-
tion Act of 2010 235
9.4 A tax on systemic risk 241
9.5 Summary 244
Bibliography 244
10 Analyzing Systemic Risk of the European Banking Sector 247
Viral V Acharya and Sascha Steffen
10.1 Introduction 247
10.2 Methodology - measuring systemic risk 249
10.3 Data and summary statistics 251
10.4 Measuring systemic risk of European banks 254
10.5 Responses to the financial crisis of 2007-2009 266
10.6 After the crisis is before the crisis - the sovereign debt crisis
of2010 270
10.7 Conclusion 278
Bibliography 281
PART IV: NETWORKS 283
Networks: Introduction 285
Rama Cont
11 Network Models and Systemic Risk Assessment 287
Helmut Elsinger, AlfredLehar and Martin Summer
11.1 Introduction 287
11.2 A network model of interbank exposures and contagion risk 288
11.3 Estimating network exposures 291
11.4 Creating loss scenarios 294
11.5 Clearing in the interbank market 297
11.6 Empirical findings 299
11.7 Extensions 302
Bibliography 303
12 Strategic Interactions on Financial Networks for the Analysis of
Systemic Risk 306
Ethan Cohen-Cole, Andrei Kirilenko and Eleonora Patacchini
12.1 Financial networks and systemic risk 306
12.2 Diffusion-like processes over networks 309
12.3 An empirical application: the CME market 316
12.4 Conclusions and policy implications 323
Bibliography 324
13 Network Structure and Systemic Risk in Banking Systems 327
Rama Cont, Amal Moussa andEdson B. Santos
13.1 Introduction 327
13.2 The network structure of banking systems 333
13.3 Systemic risk and default contagion 345
13.4 Is default contagion a significant source of systemic risk? 351
13.5 What makes an institution systemically important? 355
13.6 Does one size fit all? The case for targeted capital requirements 361
Bibliography 365
PART V: SYSTEMIC RISK AND MATHEMATICAL FINANCE 369
Systemic Risk and Mathematical Finance 371
Ronnie Sircar
14 Firms, Banks and Households 372
L. C. G. Rogers and P. Zaczkowski
14.1 Introduction 372
14.2 Modelling assumptions 374
14.3 Summary 385
14.4 Examples 387
14.5 Numerical results 390
Bibliography 400
15 An Agent-Based Computational Model for Bank Formation and
Interbank Networks 401
Matheus R. Grasselli and Omneia R. H. Ismail
15.1 Introduction 401
15.2 The pre-banking society 404
15.3 Introducing banks 410
15.4 Interbank market 416
15.5 Communities of correlated preferences 423
15.6 Conclusions and further directions 428
Bibliography 430
16 Diversification in Financial Networks may Increase Systemic Risk 432
Josselin Gamier, George Papanicolaou and Tzu-Wei Yang
16.1 Introduction 432
16.2 A bistable mean-field model for systemic risk 433
16.3 Review of some models for systemic risk 439
16.4 Summary and conclusion 442
Bibliography 442
17 Systemic Risk Illustrated 444
Jean-Pierre Fouque and Li-Hsien Sun
17.1 Introduction 444
17.2 Stability illustrated by simulations 446
17.3 Mean-field limit 449
17.4 Large deviations and systemic risk 450
17.5 Conclusion 451
Bibliography 452
18 Financial Crisis and Contagion: A Dynamical Systems Approach 453
Youngna Choi and Raphael Douady
18.1 Introduction 454
18.2 Assumptions on an economy 455
18.3 A nonlinear dynamic programming model 458
18.4 Market instability indicator 467
18.5 Financial crisis 468
18.6 Case studies and applications 473
18.7 Conclusion and further reading 477
Bibliography 478
PART VI: COUNTERPARTY RISK AND SYSTEMIC RISK 481
Introduction 483
Kay Giesecke
Bibliography 484
19 Pricing and Mitigation of Counterparty Credit Exposures 485
Agostino Capponi
19.1 Introduction 485
19.2 Notation and definitions 488
19.3 Risk-neutral pricing of counterparty risk 491
19.4 Application to interest-rate and credit default swaps 496
19.5 Future trends in counterparty risk 506
19.6 Conclusions 508
Bibliography 509
20 Counterparty Contagion in Context: Contributions to Systemic
Risk 512
Jeremy Staum
20.1 Introduction 512
20.2 Contagion 513
20.3 Models of counterparty contagion 516
20.4 Other phenomena in models of systemic risk 523
20.5 Counterparty contagion and systemic risk 529
20.6 Systemic risk attribution 534
20.7 Avenues for progress 537
Bibliography 540
PART VII: ALGORITHMIC TRADING 545
Algorithmic Trading 547
Alexander Schied
21 Market Microstructure Knowledge Needed for Controlling an
Intra-Day Trading Process 549
Charles-Albert Lehalle
21.1 Market microstructure modeling and payoff understanding
are key elements of quantitative trading 549
21.2 From market design to market microstructure: practical
examples 552
21.3 Forward and backward components of the price formation
process 562
21.4 From statistically optimal trade scheduling to microscopic
optimization of order flows 564
21.5 Perspectives and future work 575
Bibliography 576
22 Dynamical Models of Market Impact and Algorithms for Order
Execution 579
Jim Gatheral and Alexander Schied
22.1 Introduction 579
22.2 Price impact and price manipulation 580
22.3 Temporary and permanent price impact 584
22.4 Transient price impact 588
22.5 Further extensions 596
Bibliography 599
PART VIII: BEHAVIORAL FINANCE:
THE PSYCHOLOGICAL DIMENSION OF SYSTEMIC RISK 603
Behavioral Finance: Introduction 605
Hersh Shefrin
Bibliography 621
23 Fear, Greed, and Financial Crises: A Cognitive Neurosciences
Perspective 622
Andrew Lo
23.1 Introduction 622
23.2 A brief history of the brain 625
23.3 Fear 627
23.4 Greed 632
23.5 Risk 636
23.6 Rationality 640
23.7 Sentience 645
23.8 Interactions 648
23.9 Policy implications 652
23.10 Conclusion 655
Bibliography 659
24 Bubbles, Crises, and Heterogeneous Beliefs 663
Wei Xiong
24.1 Historical bubbles 664
24.2 Limits of arbitrage 674
24.3 Heterogeneous beliefs 677
24.4 Resale option theory of bubbles 682
24.5 Credit cycles 692
24.6 General equilibrium models with heterogeneous beliefs 696
24.7 Welfare analysis with distorted beliefs 701
24.8 Summary and future directions 704
Bibliography 706
25 Systemic Risk and Sentiment 714
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
25.1 Introduction 714
25.2 Behavioral asset pricing theory and sentiment 719
25.3 Estimating the empirical SDF 723
25.4 Sentiment and the financial crisis 726
25.5 External measures of sentiment 734
25.6 Sentiment, systemic risk and leverage 736
25.7 Conclusion 739
PART IX: REGULATION 743
Regulation: Introduction 745
Gary Stern and Ron J. Feldman
26 The New Financial Stability Framework in Europe 748
Cars ten Detken and Per Nymand-Andersen
26.1 The new European approach to systemic risk 749
26.2 The new European systemic risk framework 753
26.3 The ECB approach to systemic risk 755
26.4 Global markets require a global approach to risk. 766
26.5 Conclusion 768
Bibliography 771
27 Sector-Level Financial Networks and Macroprudential
Risk Analysis in the Euro Area 775
Olli Castren and Ilja Kristian Kavonius
21.1 Introduction 775
27.2 Description of the data 777
27.3 The network of balance sheet exposures for the aggregate
Euro area financial system 777
27.4 Derivation of the risk-based balance sheets 781
27.5 Propagation of shocks in the risk-based financial network 786
27.6 Concluding remarks 788
Bibliography 789
28 Systemic Risk Early Warning System: A Micro-Macro Prudential
Synthesis 791
Mikhail V Oet, Ryan Eiben, Timothy Bianco, Dieter Gramlich,
Stephen J. Ong, andJing Wang
28.1 Introduction 792
28.2 EWS elements 796
28.3 Risk model and results 801
28.4 Discussion and implications 812
28.5 Conclusions and future work 828
Bibliography 843
PART X: COMPUTATIONAL ISSUES AND REQUIREMENTS 847
Computational Issues and Requirements: Introduction 849
Richard Byrne
29 Enabling Data Analysis for Addressing Systemic Risk 852
Eric Hughes, Arnon Rosenthal, Charles Worrell
29.1 Challenges in analyzing systemic risk 852
29.2 Approaches that support analysis 853
29.3 Analysis approaches 862
29.4 Discussion and future research 866
Bibliography 868
30 Operational Considerations in an Analytic Environment for
Systemic Risk 869
Charles Worrell, Samar Guharay, Matt McMahon, Len Seligman, and
Rajani Shenoy
30.1 Introduction 869
30.2 Controlling the frame of reference 870
30.3 Managing the data environment 871
30.4 Model hosting and execution environment 874
30.5 Comparison and measurement across disparate models 875
30.6 Aggregation of risk components 877
30.7 From analysis to decisions 879
Bibliography 880
31 Requirements for Systemic Risk Management in the Financial
Sector 882
Alan J. King, Donna N. Dillenberger, Aviv Orani, Francis N. Parr, and
Gong Su
31.1 Introduction 882
31.2 History 884
31.3 Modern mortgage market 884
31.4 Network and counterparty risk 890
31.5 Requirements for broad scope risk 892
31.6 Integrated risk analytics 895
31.7 Reference data 901
31.8 Risk analytics services 907
31.9 Summary 910
Bibliography 911
PART XI: ACCOUNTING ISSUES 913
Accounting and Systemic Risk: An Introduction 915
Trevor S. Harris
Bibliography 917
32 Accounting s Role in the Reporting, Creation, and Avoidance of
Systemic Risk in Financial Institutions 918
Trevor S. Harris, Robert Herz and Down Nissim
32.1 Introduction 918
32.2 Some basics of accounting and financial reporting 921
32.3 Accounting for systemic risk 924
32.4 Accounting for different asset and liability classes 926
32.5 Accounting, pro-cyclicality and systemic risk: summary
thoughts 957
32.6 Single firm versus systemic risk 961
32.7 Concluding remarks 962
Bibliography 963
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| title | Handbook on systemic risk |
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