Handbook on Systemic Risk | by Jean-Pierre Fouque and Joseph A. Langsam (eds) | ISBN: 9781107023437 | Financial Industry Business Ontology. Controlling an Intra-Day Trading Process. Macroprudential Risk Analysis. Systemic Risk Early Warning System.

Handbook on Systemic Risk 9781107023437

by Jean-Pierre Fouque and Joseph A. Langsam (eds)
ISBN: 9781107023437

Written by experts in the field, this authoritative resource provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets.

Handbook on Systemic Risk

Product Description
Experts in the field provide an introduction to the multifaceted aspects of this critically important topic.
item_dimensions: 9.72 x 1.61 x 6.85 inches; 4.1 pounds
shipping_weight: 4.14 pounds
ASIN: 1107023432


Table of Contents
Handbook on Systemic Risk
Part I – Data—The Prerequisite for Managing Systemic Risk

Chapter 1 – Systemic Risk Information Requirements—Current Environment, Needs, and Approaches for Development
1.1: Introduction
1.2: Purpose
1.3: Overview of Types of Systemic Risk Information Required
1.4: Overview of the Financial Landscape
1.5: Observations on the State of Financial Data within Financial Institutions
1.6: The Challenge Ahead for Systemic Risk Information Collection
1.7: Paths for Collection of Systemic Risk Information
1.8: Conclusions

Chapter 2 – Aligning Models and Data for Systemic Risk Analysis
2.1: Introduction
2.2: Data Aggregation and Statistical Inference: At What Level of Detail Should Data Be Collected?
2.3: Data Linkage
2.4: Aligning Data and Models
2.5: A Brief Comment on Confidentiality, Anonymization and the Role of Consortia
2.6: Conclusion
Appendix: An Example of a Systemic Risk Dashboard with Annotations for the Data Required to Construct it

Chapter 3 – Applying FpML
3.1: Introduction
3.2: Inside FpML
3.3: Application to Systemic Risk
3.4: Conclusions

Chapter 4 – Data Integration for Systemic Risk in the Financial System
4.1: The Systemic Risk Data Integration Challenge
4.2: Data Integration Task Model
4.3: Standards for Data Exchange
4.4: Tools for Reconciling Heterogeneity
4.5: Research Questions
4.6: Conclusions

Chapter 5 – Semantics in Systemic Risk Management
5.1: Dealing with Semantics
5.2: Creating an Ontology
5.3: Semantic Technology Applications
5.4: Operational Data
5.5: Summary
5.6: The Financial Industry Business Ontology
5.7: FIBO and Systemic Risk
Part II – Statistics and Systemic Risk

Chapter 6 – Statistical Assessments of Systemic Risk Measures
6.1: Introduction and Background on Systemic Risk
6.2: CoVaR
6.3: Marginal Expected Shortfall
6.4: Other Tail Dependence Measures
6.5: Conclusions & Alternative Systemic Measure

Chapter 7 – Regime Switching Models and Risk Measurement Tools
7.1: Introduction
7.2: Using Regime Shifting Models with Historical Data
7.3: Using Forward-Looking Data
7.4: Conclusions
Part III – Measuring and Regulating Systemic Risk

Chapter 8 – Measuring Systemic Risk
8.1: The Dodd–Frank Wall Street Reform and Consumer Protection Act
8.2: Evaluation of the Dodd–Frank Act
8.3: NYU Stern Systemic Risk Rankings
Appendix A: Systemic Risk Institutions
Appendix B. Supervisory Capital Assessment Program (SCAP)
Appendix C: Marginal Expected Shortfall (MES) and Supervisory Stress Test (SCAP)

Chapter 9 – Taxing Systemic Risk
9.1: Systemic Risk and the Financial Crisis of 2007 to 2009
9.2: Regulating Systemic Risk
9.3: The Dodd–Frank Wall Street Reforms and Consumer Protection Act of 2010
9.4: A Tax on Systemic Risk
9.5: Summary

Chapter 10 – Analyzing Systemic Risk of the European Banking Sector
10.1: Introduction
10.2: Methodology – Measuring Systemic Risk
10.3: Data and Summary Statistics
10.4: Measuring Systemic Risk of European Banks
10.5: Responses to the Financial Crisis of 2007–2009
10.6: After the Crisis is before the Crisis – the Sovereign Debt Crisis of 2010
10.7: Conclusion
Appendix 1: List of banks and input parameters as of June 2007
Appendix 2: Capital Shortfall as of June 2007
Part IV – Networks

Chapter 11 – Network Models and Systemic Risk Assessment
11.1: Introduction
11.2: A Network Model of Interbank Exposures and Contagion Risk
11.3: Estimating Network Exposures
11.4: Creating Loss Scenarios
11.5: Clearing in the Interbank Market
11.6: Empirical Findings
11.7: Extensions

Chapter 12 – Strategic Interactions on Financial Networks for the Analysis of Systemic Risk
12.1: Financial Networks and Systemic Risk
12.2: Diffusion-Like Processes over Networks
12.3: An Empirical Application: The CME Market
12.4: Conclusions and Policy Implications

Chapter 13 – Network Structure and Systemic Risk in Banking Systems
13.1: Introduction
13.2: The Network Structure of Banking Systems
13.3: Systemic Risk and Default Contagion
13.4: Is Default Contagion a Significant Source of Systemic Risk?
13.5: What Makes an Institution Systemically Important?
13.6: Does One Size Fit All? the Case for Targeted Capital Requirements
Part V – Systemic Risk and Mathematical Finance

Chapter 14 – Firms, Banks and Households
14.1: Introduction
14.2: Modelling Assumptions
14.3: Summary
14.4: Examples
14.5: Numerical Results

Chapter 15 – An Agent-Based Computational Model for Bank Formation and Interbank Networks
15.1: Introduction
15.2: The Pre-Banking Society
15.3: Introducing Banks
15.4: Interbank Market
15.5: Communities of Correlated Preferences
15.6: Conclusions and Further Directions

Chapter 16 – Diversification in Financial Networks may Increase Systemic Risk
16.1: Introduction
16.2: A Bistable Mean-Field Model for Systemic Risk
16.3: Review of Some Models for Systemic Risk
16.4: Summary and Conclusion

Chapter 17 – Systemic Risk Illustrated
17.1: Introduction
17.2: Stability Illustrated by Simulations
17.3: Mean-Field Limit
17.4: Large Deviations and Systemic Risk
17.5: Conclusion

Chapter 18 – Financial Crisis and Contagion—A Dynamical Systems Approach
18.1: Introduction
18.2: Assumptions on an Economy
18.3: A Nonlinear Dynamic Programming Model
18.4: Market Instability Indicator
18.5: Financial Crisis
18.6: Case Studies and Applications
18.7: Conclusion and Further Reading
Part VI – Counterparty Risk and Systemic Risk

Chapter 19 – Pricing and Mitigation of Counterparty Credit Exposures
19.1: Introduction
19.2: Notation and Definitions
19.3: Risk-Neutral Pricing of Counterparty Risk
19.4: Application to Interest-Rate and Credit Default Swaps
19.5: Future Trends in Counterparty Risk
19.6: Conclusions

Chapter 20 – Counterparty Contagion in Context—Contributions to Systemic Risk
20.1: Introduction
20.2: Contagion
20.3: Models of Counterparty Contagion
20.4: Other Phenomena in Models of Systemic Risk
20.5: Counterparty Contagion and Systemic Risk
20.6: Systemic Risk Attribution
20.7: Avenues for Progress
Part VII – Algorithmic Trading

Chapter 21 – Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
21.1: Market Microstructure Modeling and Payoff Understanding are Key Elements of Quantitative Trading
21.2: From Market Design to Market Microstructure: Practical Examples
21.3: Forward and Backward Components of the Price Formation Process
21.4: From Statistically Optimal Trade Scheduling to Microscopic Optimization of Order Flows
21.5: Perspectives and Future Work

Chapter 22 – Dynamical Models of Market Impact and Algorithms for Order Execution
22.1: Introduction
22.2: Price Impact and Price Manipulation
22.3: Temporary and Permanent Price Impact
22.4: Transient Price Impact
22.5: Further Extensions
Part VIII – Behavioral Finance—The Psychological Dimension of Systemic Risk

Chapter 23 – Fear, Greed, and Financial Crises—A Cognitive Neurosciences Perspective
23.1: Introduction
23.2: A Brief History of the Brain
23.3: Fear
23.4: Greed
23.5: Risk
23.6: Rationality
23.7: Sentience
23.8: Interactions
23.9: Policy Implications
23.10: Conclusion

Chapter 24 – Bubbles, Crises, and Heterogeneous Beliefs
24.1: Historical Bubbles
24.2: Limits of Arbitrage
24.3: Heterogeneous Beliefs
24.4: Resale Option Theory of Bubbles
24.5: Credit Cycles
24.6: General Equilibrium Models with Heterogeneous Beliefs
24.7: Welfare Analysis with Distorted Beliefs
24.8: Summary and Future Directions

Chapter 25 – Systemic Risk and Sentiment
25.1: Introduction
25.2: Behavioral Asset Pricing Theory and Sentiment
25.3: Estimating the Empirical Sdf
25.4: Sentiment and the Financial Crisis
25.5: External Measures of Sentiment
25.6: Sentiment, Systemic Risk and Leverage
25.7: Conclusion
Part IX – Regulation

Chapter 26 – The New Financial Stability Framework in Europe
26.1: The New European Approach to Systemic Risk
26.2: The New European Systemic Risk Framework
26.3: The ECB Approach to Systemic Risk
26.4: Global Markets Require a Global Approach to Risk
26.5: Conclusion

Chapter 27 – Sector-Level Financial Networks and Macroprudential Risk Analysis in the Euro Area
27.1: Introduction
27.2: Description of the Data
27.3: The Network of Balance Sheet Exposures for the Aggregate Euro Area Financial System
27.4: Derivation of the Risk-Based Balance Sheets
27.5: Propagation of Shocks in the Risk-Based Financial Network
27.6: Concluding Remarks

Chapter 28 – Systemic Risk Early Warning System—A Micro-Macro Prudential Synthesis
28.1: Introduction
28.2: EWS Elements
28.3: Risk Model and Results
28.4: Discussion and Implications
28.5: Conclusions and Future Work
Appendix A: Description of explanatory data
Appendix B: Explanatory variable construction
Part X – Computational Issues and Requirements

Chapter 29 – Enabling Data Analysis for Addressing Systemic Risk
29.1: Challenges in Analyzing Systemic Risk
29.2: Approaches That Support Analysis
29.3: Analysis Approaches
29.4: Discussion and Future Research

Chapter 30 – Operational Considerations in an Analytic Environment for Systemic Risk
30.1: Introduction
30.2: Controlling the Frame of Reference
30.3: Managing the Data Environment
30.4: Model Hosting and Execution Environment
30.5: Comparison and Measurement across Disparate Models
30.6: Aggregation of Risk Components
30.7: From Analysis to Decisions

Chapter 31 – Requirements for Systemic Risk Management in the Financial Sector
31.1: Introduction
31.2: History
31.3: Modern Mortgage Market
31.4: Network and Counterparty Risk
31.5: Requirements for Broad Scope Risk
31.6: Integrated Risk Analytics
31.7: Reference Data
31.8: Risk Analytics Services
31.9: Summary
Part XI – Accounting Issues

Chapter 32 – Accounting’s Role in the Reporting, Creation, and Avoidance of Systemic Risk in Financial Institutions
32.1: Introduction
32.2: Some Basics of Accounting and Financial Reporting
32.3: Accounting for Systemic Risk
32.4: Accounting for Different Asset and Liability Classes
32.5: Accounting, Pro-Cyclicality and Systemic Risk: Summary Thoughts
32.6: Single Firm versus Systemic Risk
32.7: Concluding Remarks

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