A Macroeconomic Framework For Quantifying Systemic Risk

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A Macroeconomic Framework For Quantifying Systemic Risk

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Author : Zhiguo He
language : en
Publisher:
Release Date : 2014

A Macroeconomic Framework For Quantifying Systemic Risk written by Zhiguo He and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Economics categories.

Systemic risk arises when shocks lead to states where a disruption in financial intermediation adversely affects the economy and feeds back into further disrupting financial intermediation. We present a macroeconomic model with a financial intermediary sector subject to an equity capital constraint. The novel aspect of our analysis is that the model produces a stochastic steady state distribution for the economy, in which only some of the states correspond to systemic risk states. The model allows us to examine the transition from "normal" states to systemic risk states. We calibrate our model and use it to match the systemic risk apparent during the 2007/2008 financial crisis. We also use the model to compute the conditional probabilities of arriving at a systemic risk state, such as 2007/2008. Finally, we show how the model can be used to conduct a macroeconomic "stress test" linking a stress scenario to the probability of systemic risk states.

Quantifying Systemic Risk

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Author : Joseph G. Haubrich
language : en
Publisher: University of Chicago Press
Release Date : 2013-01-24

Quantifying Systemic Risk written by Joseph G. Haubrich and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-24 with Business & Economics categories.

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.

Report

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Author : Banque nationale de Belgique
language : en
Publisher:
Release Date : 2012

Report written by Banque nationale de Belgique and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Belgium categories.

New Framework For Measuring And Managing Macrofinancial Risk And Financial Stability

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Author : Dale Gray
language : en
Publisher:
Release Date : 2007

New Framework For Measuring And Managing Macrofinancial Risk And Financial Stability written by Dale Gray and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Financial risk categories.

This paper proposes a new approach to improve the way central banks can analyze and manage the financial risks of a national economy. It is based on the modern theory and practice of contingent claims analysis (CCA), which is successfully used today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk-adjusted balance sheet, which shows the sensitivity of the enterprise's assets and liabilities to external "shocks." At the national level, the sectors of an economy are viewed as interconnected portfolios of assets, liabilities, and guarantees -- some explicit and others implicit. Traditional approaches have difficulty analyzing how risks can accumulate gradually and then suddenly erupt in a full-blown crisis. The CCA approach is well-suited to capturing such "non-linearities" and to quantifying the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets facilitate simulations and stress testing to evaluate the potential impact of policies to manage systemic risk.

Macroprudential Stress Tests A Reduced Form Approach To Quantifying Systemic Risk Losses

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Author : Zineddine Alla
language : en
Publisher: International Monetary Fund
Release Date : 2018-03-09

Macroprudential Stress Tests A Reduced Form Approach To Quantifying Systemic Risk Losses written by Zineddine Alla and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-09 with Business & Economics categories.

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the distress of other entities in the system. This valuation is made possible by a multivariate density which characterizes the asset values of the financial entities making up the system. In this paper this density is estimated using CIMDO, a statistical approach, which infers densities that are consistent with entities’ probabilities of default, which in this case are estimated using market-based data. Hence, SE losses capture the effects of interconnectedness structures that are consistent with markets’ perceptions of risk. We then show how SE losses can be decomposed into the likelihood of distress and the magnitude of losses, thereby quantifying the contribution of specific entities to systemic contagion. To illustrate the approach, we quantify SE losses due to Lehman Brothers’ default.

Global Financial Stability Report

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Author :
language : en
Publisher:
Release Date : 2011

Global Financial Stability Report written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Capital market categories.

Energy Environment And Sustainable Development Ii

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Author : United Nations. Economic and Social Commission for Asia and the Pacific
language : en
Publisher: New York : United Nations
Release Date : 1995

Energy Environment And Sustainable Development Ii written by United Nations. Economic and Social Commission for Asia and the Pacific and has been published by New York : United Nations this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Business & Economics categories.

This publication offers an in-depth discussion on each form of energy, how it impacts on the environment and how big a part it plays in sustainable development.--Publisher's description.

Reserve Bank Of India Bulletin

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Author : Reserve Bank of India
language : en
Publisher:
Release Date : 2012-03

Reserve Bank Of India Bulletin written by Reserve Bank of India and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03 with Banks and banking categories.

Encyclopedia Of Quantitative Risk Analysis And Assessment

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Author :
language : en
Publisher: Wiley
Release Date : 2008-09-02

Encyclopedia Of Quantitative Risk Analysis And Assessment written by and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-02 with Mathematics categories.

Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.

Financial Stability Review

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Author :
language : en
Publisher:
Release Date : 2006

Financial Stability Review written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Banks and banking categories.