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Systemic risk: history, measurement and regulation

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Bibliographic Details
Main Authors:	Kreis, Yvonne 1978- (Author), Leisen, Dietmar 1970- (Author), Ponce, Jorge (Author)
Format:	Book
Language:	English
Published:	New Jersey World Scientific Publishing [2019]
Subjects:	Financial Engineering Finanzierung Risikomanagement Systemrisiko Finance Financial engineering Risk management
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031421303&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Physical Description:	xxi, 174 Seiten
ISBN:	9789811201059

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Record in the Search Index

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adam_text	Contents Acknowlcdţn .mcnts vii List of Figures xiii Lisi, of labios xv About, the Authors xvii Introduction xix Part, 1. 1. History 1 Major systemic· crises across continents at the end of the 20ll‘ century 1.1 1.2 1.5 Lí 1.5 l.G Mort li America......................................................................... 1.1.1 Тік; Savings к: Loan crisis ...................................... 1.1.2 Continental Illinois and the too-big-to-fail policy . Latin America............................................................................ 1.2.1 The Chilean crisis...................................................... 1.2.2 The Mexican peso crisis............................................ 1.2.. 5 The Argentine and Uruguayan crises...................... Europe՝........................................................................................ 1.4.1 Tlu; Spanish hanking crisis of 1977 ......................... l.:i.2 The Nordic crises of the 1990s................................ Asia............................................................................................ 1.4.1 The .Japanese՝ hank crisis of the՛ 1990s................... 1.4.2 The՝ Asian crisis of 1997 ............................................ Australia..................................................................................... Africa and Mielelle East............................................................ 1.0.1 Systemic crise s in African countrie՝s...................... 1.0.2 The Israeli hank crisis of 198.4............................... 0 9 10 11 11 12 15 15 15 10 18 18 19 21 22 22 25 x 2. Systemic Risk: History, Measurement and Regulation Major systemic crisis in the 21st century 25 2.1 25 2.2 3. 35 3.1 3.2 3.3 35 37 38 Measurement 41 45 4.1 46 46 46 47 48 Channels of systemic risk .................................................... 4.1.1 Macroeconomic shocks ........................................... 4.1.2 Domino defaults....................................................... 4.1.3 Imbalances in risk allocation.................................. Outcomes of systemic risk.................................................... Characterizing systemic risk 51 5.1 51 51 54 55 56 59 60 63 5.2 5.3 6. Systemic crises at the end of the 20th century................... Systemic crises of the 21st century ..................................... Main historical insights.......................................................... Defining systemic risk 4.2 5. 25 28 30 31 Common features in the historyof systemic crises Part 2. 4. The global financial crisis .................................................... 2.1.1 The subprime crisis the fall of Lehman Brothers................................................................... 2.1.2 The global dimension.............................................. 2.1.3 The systemic crisis in Iceland.................................. The European sovereign debt crisis..................................... Economic concepts................................................................ 5.1.1 Propagation............................................................. 5.1.2 Temporal and cross-sectional aspects ................... Features of systemic risk measures..................................... 5.2.1 Measurement object................................................. 5.2.2 Expectation and conditioning.................................. 5.2.3 Data and estimation................................................. An overview of measures based on market data............... Main systemic risk measures 69 6.1 6.2 69 71 71 73 Measures based on Value-at-Risk........................................ Measures based on expected shortfall.................................. 6.2.1 Systemic and marginal expected shortfall............ 6.2.2 SRISK ...................................................................... Conti Ilts G.3 G.d 7. Systemic risk around tint world 7.1 7.2 7.3 7.4 7.5 Part 3. 8. 9. Measures baset! on factor models..................................... G.3.1 Principal component analysis................................ 0.3.2 Tint size and heterogeneity of single- factor loadings..................................................................... G.3.3 Conditional expected default frequency.............. Comparison......................................................................... Dataset and implementation issues.................................... Worldwide systemic risk...................................................... Systemic risk across geographical regions........................... Systemic risk across countries............................................. Main insights........................................................................ Regulation xi 71 75 77 78 80 83 83 8G 88 92 103 105 Justifying prudential regulation 109 8.1 8.2 8.3 109 113 11G A conceptual roadmap......................................................... Challenges t.o prudential regulation.................................... The: need for prudential regulation.................................... Prudential perspectives 121 9.1 9.2 121 125 127 131 13G 9.3 Micro-prudential perspective................................................ Macro-prudential perspective............................................. 9.2.1 Cross-sectional dimension....................................... 9.2.2 Time dimension...................................................... Resolution policies.............................................................. 10. Institutional frameworks for financial stability 10.1 Financial stability committeH s............................................. 10.2 Challenge s to the: institutional de-sign................................. 10.3 Syste-mic risk identification anel asse-ssment........................ 10.3.1 Λ (le-centralize-d frame:work for iele՝nt ifie at ion . . . 10.3.2 Cornelina։e՝d asse-ssment in a committee............... 10.4 Prudential perlicy coorelinatiem............................................. Bibliography 141 142 145 149 149 152 155 159
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author	Kreis, Yvonne 1978- Leisen, Dietmar 1970- Ponce, Jorge
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isbn	9789811201059
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physical	xxi, 174 Seiten
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spellingShingle	Kreis, Yvonne 1978- Leisen, Dietmar 1970- Ponce, Jorge Systemic risk history, measurement and regulation Financial Engineering (DE-588)4208404-0 gnd Finanzierung (DE-588)4017182-6 gnd Risikomanagement (DE-588)4121590-4 gnd Systemrisiko (DE-588)1164452932 gnd
subject_GND	(DE-588)4208404-0 (DE-588)4017182-6 (DE-588)4121590-4 (DE-588)1164452932
title	Systemic risk history, measurement and regulation
title_auth	Systemic risk history, measurement and regulation
title_exact_search	Systemic risk history, measurement and regulation
title_full	Systemic risk history, measurement and regulation Yvonne Kreis (Schüllermann and Partner, Germany), Dietmar Leisen (Johannes Gutenberg University of Mainz, Germany), Jorge Ponce (Central Bank of Uruguay, Uruguay)
title_fullStr	Systemic risk history, measurement and regulation Yvonne Kreis (Schüllermann and Partner, Germany), Dietmar Leisen (Johannes Gutenberg University of Mainz, Germany), Jorge Ponce (Central Bank of Uruguay, Uruguay)
title_full_unstemmed	Systemic risk history, measurement and regulation Yvonne Kreis (Schüllermann and Partner, Germany), Dietmar Leisen (Johannes Gutenberg University of Mainz, Germany), Jorge Ponce (Central Bank of Uruguay, Uruguay)
title_short	Systemic risk
title_sort	systemic risk history measurement and regulation
title_sub	history, measurement and regulation
topic	Financial Engineering (DE-588)4208404-0 gnd Finanzierung (DE-588)4017182-6 gnd Risikomanagement (DE-588)4121590-4 gnd Systemrisiko (DE-588)1164452932 gnd
topic_facet	Financial Engineering Finanzierung Risikomanagement Systemrisiko
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031421303&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT kreisyvonne systemicriskhistorymeasurementandregulation AT leisendietmar systemicriskhistorymeasurementandregulation AT poncejorge systemicriskhistorymeasurementandregulation

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