Handbook on Systemic Risk

doi:10.1017/CBO9781139151184

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The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

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Contents

Frontmatter
pp i-iv
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Contents
pp v-xiv
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Contributors
pp xv-xix
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Introduction
pp xx-xxviii
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PART I - DATA: THE PREREQUISITE FOR MANAGING SYSTEMIC RISK
pp 1-8
- By H.V. Jagadish, University of Michigan
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1 - Systemic Risk Information Requirements: Current Environment, Needs, and Approaches for Development
pp 9-36
- By Edward T. Hida II, One World Financial Center, New York
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2 - Aligning Models and Data for Systemic Risk Analysis
pp 37-65
- By Roger M. Stein, 7 World Trade Center, New York
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3 - Applying FpML
pp 66-92
- By Andrew Jacobs, Uk, Marc Gratacos, Badalona, Spain
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4 - Data Integration for Systemic Risk in the Financial System
pp 93-122
- By Arnon Rosenthal, Usa, Len Seligman, Usa
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5 - Semantics in Systemic Risk Management
pp 123-160
- By Mike Atkin, Usa, Mike Bennett, Uk
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PART II - STATISTICS AND SYSTEMIC RISK
pp 161-164
- By John Liechty, Pennsylvania State University
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6 - Statistical Assessments of Systemic Risk Measures
pp 165-179
- By Carole Bernard, University of aterloo, Eike Christian Brechmann, Technische Universität München, Claudia Czado, Universität München
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7 - Regime Switching Models and Risk Measurement Tools
pp 180-190
- By John Liechty, Pennsylvania State University
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PART III - MEASURING AND REGULATING SYSTEMIC RISK
pp 191-195
- By Viral V. Acharya, New York University
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8 - Measuring Systemic Risk
pp 196-225
- By Viral V. Acharya, New York University, Christian Brownlees, Pompeu Fabra University, Robert Engle, New York University, Farhang Farazmand, New York University, Matthew Richardson, New York University
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9 - Taxing Systemic Risk
pp 226-246
- By Viral V. Acharya, New York University, Lasse Pedersen, New York University, Thomas Philippon, New York University, Matthew Richardson, New York University
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10 - Analyzing Systemic Risk of the European Banking Sector
pp 247-282
- By Viral V. Acharya, New York University, Sascha Steffen, ESMT European School of Management and Technology
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PART IV - NETWORKS
pp 283-286
- By Rama Cont, Imperial College London
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11 - Network Models and Systemic Risk Assessment
pp 287-305
- By Helmut Elsinger, Economic Studies Division, Alfred Lehar, University of Calgary, Martin Summer, Economic Studies Division
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12 - Strategic Interactions on Financial Networks for the Analysis of Systemic Risk
pp 306-326
- By Ethan Cohen-Cole, University of Maryland, Andrei Kirilenko, Usa, Eleonora Patacchini, University of Rome
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13 - Network Structure and Systemic Risk in Banking Systems
pp 327-368
- By Rama Cont, Imperial College London, Amal Moussa, Columbia University, Edson B. Santos, Brazil
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PART V - SYSTEMIC RISK ANDMATHEMATICAL FINANCE
pp 369-371
- By Ronnie Sircar, Princeton University
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14 - Firms, Banks and Households
pp 372-400
- By L.C.G. Rogers, University of Cambridge, P. Zaczkowski, University of Cambridge
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15 - An Agent-Based Computational Model for Bank Formation and Interbank Networks
pp 401-431
- By Matheus R. Grasselli, McMaster University, Omneia R. H. Ismail, EDHEC Business School
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16 - Diversification in Financial Networks may Increase Systemic Risk
pp 432-443
- By Josselin Garnier, Université Paris VII, George Papanicolaou, Stanford University, Tzu-Wei Yang, Stanford University
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17 - Systemic Risk Illustrated
pp 444-452
- By Jean-Pierre Fouque, University of California, Li-Hsien Sun, University of California
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18 - Financial Crisis and Contagion: A Dynamical Systems Approach
pp 453-480
- By Youngna Choi, Montclair State University, Raphael Douady, Université Paris 1
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PART VI - COUNTERPARTY RISK AND SYSTEMIC RISK
pp 481-484
- By Kay Giesecke, Stanford University
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19 - Pricing and Mitigation of Counterparty Credit Exposures
pp 485-511
- By Agostino Capponi, Purdue University
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20 - Counterparty Contagion in Context: Contributions to Systemic Risk
pp 512-544
- By Jeremy Staum, Northwestern University
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Handbook on Systemic Risk

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Contents

Frontmatter
pp i-iv

Contents
pp v-xiv

Contributors
pp xv-xix

Introduction
pp xx-xxviii

PART I - DATA: THE PREREQUISITE FOR MANAGING SYSTEMIC RISK
pp 1-8

1 - Systemic Risk Information Requirements: Current Environment, Needs, and Approaches for Development
pp 9-36

2 - Aligning Models and Data for Systemic Risk Analysis
pp 37-65

3 - Applying FpML
pp 66-92

4 - Data Integration for Systemic Risk in the Financial System
pp 93-122

5 - Semantics in Systemic Risk Management
pp 123-160

PART II - STATISTICS AND SYSTEMIC RISK
pp 161-164

6 - Statistical Assessments of Systemic Risk Measures
pp 165-179

7 - Regime Switching Models and Risk Measurement Tools
pp 180-190

PART III - MEASURING AND REGULATING SYSTEMIC RISK
pp 191-195

8 - Measuring Systemic Risk
pp 196-225

9 - Taxing Systemic Risk
pp 226-246

10 - Analyzing Systemic Risk of the European Banking Sector
pp 247-282

PART IV - NETWORKS
pp 283-286

11 - Network Models and Systemic Risk Assessment
pp 287-305

12 - Strategic Interactions on Financial Networks for the Analysis of Systemic Risk
pp 306-326

13 - Network Structure and Systemic Risk in Banking Systems
pp 327-368

PART V - SYSTEMIC RISK ANDMATHEMATICAL FINANCE
pp 369-371

14 - Firms, Banks and Households
pp 372-400

15 - An Agent-Based Computational Model for Bank Formation and Interbank Networks
pp 401-431

16 - Diversification in Financial Networks may Increase Systemic Risk
pp 432-443

17 - Systemic Risk Illustrated
pp 444-452

18 - Financial Crisis and Contagion: A Dynamical Systems Approach
pp 453-480

PART VI - COUNTERPARTY RISK AND SYSTEMIC RISK
pp 481-484

19 - Pricing and Mitigation of Counterparty Credit Exposures
pp 485-511

20 - Counterparty Contagion in Context: Contributions to Systemic Risk
pp 512-544

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Handbook on Systemic Risk

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