Understanding systemic risk in global financial markets:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, New Jersey
Wiley
[2017]
|
| Series: | Wiley finance series
1935 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | xviii, 252 Seiten |
| ISBN: | 9781119348504 |
Staff View
MARC
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| 100 | 1 | |a Gottesman, Aron A. |d 1970- |e Verfasser |0 (DE-588)171905466 |4 aut | |
| 245 | 1 | 0 | |a Understanding systemic risk in global financial markets |c Aron Gottesman, Michael Leibrock |
| 264 | 1 | |a Hoboken, New Jersey |b Wiley |c [2017] | |
| 300 | |a xviii, 252 Seiten | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series |v 1935 | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Financial risk management | |
| 650 | 4 | |a Financial crises | |
| 650 | 4 | |a Risk | |
| 650 | 4 | |a Financial institutions | |
| 650 | 0 | 7 | |a Finanzkrise |0 (DE-588)7635855-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditmarkt |0 (DE-588)4073788-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a System |0 (DE-588)4058801-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-029958731 | ||
Record in the Search Index
| _version_ | 1804177930478157824 |
|---|---|
| adam_text | Preface xili
Acknowledgments xvii
About the Authors xviii
CHAPTER 1
Introduction to Systemic Risk 1
What Is Systemic Risk? ^ 2
Systemic Risk Drivers 3
Why Systemic Risk Must Be Understood, Monitored,
and Managed 5
CHAPTER 2
How We Got Here: A History of Financial Crises e
Common Drivers of Historical Crises 10
Bursting of Asset Bubbles 10
Banking Crises 14
Sovereign Debt Crisis 15
International Contagion 18
CHAPTER 3
The Credit Crisis of 2007-2006 24
Planting the Seeds of a Bubble: The Early 2000s 25
Wall Street’s Role 27
The U,S. Government Takeover of the GSEs 30
The Tipping Point: Lehman Brothers’ Failure 32
Aftermath of the Credit Crisis 35
Cost of Government Bailouts 37
CHAPTER 4
Systemic Risk, Economic and Behavioral Theories:
What Can We Learn? 44
Minsky Three-Part Model 45
Debt Deflation Cycle 46
vii
Contents
Benign Neglect 47
Behavioral Theories 48
Risk Aversion Bias 49
Asset Prices 50
Homogeneous Expectations versus Heterogeneity 51
Anchoring Heuristic 52
Excessive Optimism 52
Familiarity Bias 53
Fallacy of Composition 53
Fight or Flight 53
CHAPTER 5
Systemic Risk Data 68
Key Data Attributes 60
Key Policy Changes to Address Data Gaps 60
Data Sources 63
Data Collection Challenges and Remaining Gaps 63
Move Toward Standardization: Legal Entity
Identifier Initiative 68
CHAPTER 6
Macroprudential versus Mteroprudentlal Oversight 78
A Comparison of Macroprudential versus Microprudential 74
Microprudential Policies 74
Macroprudential Policies 76
A Historical Perspective on Macroprudential Tools 77
Choice of Macroprudential Policy Tools 79
CHAPTER 7
bitroduction to the U.S. Regulatory Regime 84
Who Are the Regulators? 84
U.S. Regulatory Approaches 86
Comparison of U.S. versus International Financial
Regulatory Regimes 87
Introduction to the Dodd-Frank Act 90
CHAPTER 8
tatroductioii to biternatioiml Regulatory Regimes 87
The Financial Stability Board 97
The Basel Accords 99
The European Systemic Risk Board 99
Principles for Financial Market Infrastructures 102
Contents ix
CHAPTER 9
Systemfcafly Important Entitles 107
Introduction to Systemically Important Entities 107
Classification of Entities as Systemically Important
by the FSOC 108
Bank SIFIs 110
Nonbank SIFIs 110
SIFMUs 112
Globally Systemically Important Banks 112
Total Loss-Absorbing Capacity (TLAC) Requirements 114
Broad Impact of Financial Stability Requirements 117
CHAPTER 10
The Voleker Rule 120
Introduction to the Voleker Rule 120
The Voleker Rule: Details 122
Prohibition of Proprietary Trading 123
Prohibition of Ownership or Sponsorship of Hedge
Funds and Private Equity Funds 123
The Voleker Rule and Systemically Risky Nonbank
Financial Companies 123
Activities That Are Permitted Despite the Voleker Rule 124
Implementation of the Voleker Rule 125
Voleker Rule: Criticism 126
CHAPTER 11
Counterparty Credit Risk 130
Overview of Derivative Securities 130
Counterparty Exposure 133
How Counterparty Credit Risk Is Managed 136
Collateral 136
Netting 136
Central Counterparties 139
Counterparty Credit Risk and Systemic Risk 142
CHAPTER 12
The Dodd-Frank Act and Counterparty Credit Risk 147
Measuring Counterparty Exposure in the OTC
Derivatives Market 147
Overview of Historical Data 149
The Evolution of the U.S. Regulatory Approach
toward OTC Derivatives
152
X
Contents
Key Provisions of Title VII of the Dodd-Frank Act 153
Mandatory Clearing 154
Execution Platforms and Data Repositories 154
Registration Requirements 155
The Push-Out Rule 155
The End User Exemption 155
Criticism of Title VII of the Dodd-Frank Act 155
CHAPTER 18
The Basel Accords 158
What Are the Basel Accords? 159
The Approach of the Basel Accords 160
Basel I 161
Basel II 163
Pillar 1: Minimum Capital Requirements 163
Pillar 2: Supervisory Review 164
Pillar 3: Market Discipline 165
Basel II.5 165
Basel III 165
The Continuing Evolution of the Basel Accords 166
CHAPTER 14
Lender of Last Resort 168
Lender of Last Resort Concept 169
Henry Thornton, Walter Bagehot, and Alternative Views 170
The Fed’s Role in the Great Depression 172
The Credit Crisis of 2007-2009 173
CHAPTER 15
felterconnectedross I08k 177
A Case Study of Interconnectedness 178
Interconnectedness Categories 179
The Depository Trust 8c Clearing Corporation 180
Post-Crisis Regulatory View of Interconnectedness 181
Basel Committee on Banking Supervision 181
Office of Financial Research 182
CPMI IOSCO Principles 184
An Approach to Analyzing Interconnectedness Risk 185
The Depository Trust 8c Clearing Corporation 185
Contents id
CHAPTER 18
Conclusion: Looking Ahead 190
It’s Not a Question of If but When, Where and How 192
A Summary of Global Surveys 192
Sources of Systemic Risk 193
Preparing for the Next Crisis 194
Appendx: Systemic Risk Models 198
Structural versus Reduced-Form Credit Models 198
Contingent Claims and Default Models 199
Merton versus Garch 204
Studies in Support of Merton 205
Macroeconomic Measures 210
Probability Distribution Measures 211
Illiquidity Measures 214
Counterparty Risk Measures 215
Behavioral Models 217
N
Solutions to the Knowledge Check Questions 223
Index
239
|
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| author | Gottesman, Aron A. 1970- Leibrock, Michael 1966- |
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| dewey-ones | 332 - Financial economics |
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| id | DE-604.BV044560092 |
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| indexdate | 2024-07-10T07:55:54Z |
| institution | BVB |
| isbn | 9781119348504 |
| language | English |
| lccn | 017010796 |
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| physical | xviii, 252 Seiten |
| publishDate | 2017 |
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| publisher | Wiley |
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| series2 | Wiley finance series |
| spelling | Gottesman, Aron A. 1970- Verfasser (DE-588)171905466 aut Understanding systemic risk in global financial markets Aron Gottesman, Michael Leibrock Hoboken, New Jersey Wiley [2017] xviii, 252 Seiten txt rdacontent n rdamedia nc rdacarrier Wiley finance series 1935 Includes bibliographical references and index Financial risk management Financial crises Risk Financial institutions Finanzkrise (DE-588)7635855-0 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf System (DE-588)4058801-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Finanzkrise (DE-588)7635855-0 s Risikomanagement (DE-588)4121590-4 s System (DE-588)4058801-4 s b DE-604 Leibrock, Michael 1966- Verfasser (DE-588)1138218979 aut Erscheint auch als Online-Ausgabe, EPUB 978-1-119-34846-7 Erscheint auch als Online-Ausgabe, PDF 978-1-119-34854-2 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029958731&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gottesman, Aron A. 1970- Leibrock, Michael 1966- Understanding systemic risk in global financial markets Financial risk management Financial crises Risk Financial institutions Finanzkrise (DE-588)7635855-0 gnd Kreditmarkt (DE-588)4073788-3 gnd System (DE-588)4058801-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)7635855-0 (DE-588)4073788-3 (DE-588)4058801-4 (DE-588)4121590-4 |
| title | Understanding systemic risk in global financial markets |
| title_auth | Understanding systemic risk in global financial markets |
| title_exact_search | Understanding systemic risk in global financial markets |
| title_full | Understanding systemic risk in global financial markets Aron Gottesman, Michael Leibrock |
| title_fullStr | Understanding systemic risk in global financial markets Aron Gottesman, Michael Leibrock |
| title_full_unstemmed | Understanding systemic risk in global financial markets Aron Gottesman, Michael Leibrock |
| title_short | Understanding systemic risk in global financial markets |
| title_sort | understanding systemic risk in global financial markets |
| topic | Financial risk management Financial crises Risk Financial institutions Finanzkrise (DE-588)7635855-0 gnd Kreditmarkt (DE-588)4073788-3 gnd System (DE-588)4058801-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Financial risk management Financial crises Risk Financial institutions Finanzkrise Kreditmarkt System Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029958731&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT gottesmanarona understandingsystemicriskinglobalfinancialmarkets AT leibrockmichael understandingsystemicriskinglobalfinancialmarkets |