Quantifying Systemic Risk

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Joseph G. Haubrich, Andrew W. Lo
University of Chicago Press, Jan 24, 2013 - Business & Economics - 400 pages
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In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises.   One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
 

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Contents

Introduction Joseph G Haubrich and Andrew W Lo
1
Toward a Unified Approach Henry T C Hu
11
Mikhail V Oet
29
Bruce Mizrach Comment Terence C Burnham
73
Hao Zhou
113
Ben Craig
155
Mathias Drehmann
175
New Methods and Measures Romney B Duffey Comment Joseph G Haubrich
223
Contributors
265
Author Index
267
Subject Index
271
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About the author (2013)

Joseph G. Haubrich is vice president of and an economist at the Federal Reserve Bank of Cleveland. Andrew W. Lo is the Harris and Harris Group Professor of Finance and director of the Laboratory for Financial Engineering at the Massachusetts Institute of Technology. He is a research associate of the National Bureau of Economic Research.

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