Synopses & Reviews
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 objectivelyandmdash;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.and#160;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.
About the Author
Joseph G. Haubrich is a vice president of and an economist at the Federal Reserve Bank of Cleveland.
Andrew W. Lo is the Charles E. And Susan T. Harris Group Professor, 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.
Table of Contents
Acknowledgments
Introduction
and#160;and#160;and#160;and#160;and#160;and#160;and#160; Joseph G. Haubrich and Andrew W. Lo
Systemic Risk and Financial Innovation: Toward a andldquo;Unifiedandrdquo; Approach
and#160;and#160;and#160;and#160;and#160;and#160;and#160; Henry T. C. Hu
1. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks
and#160;and#160;and#160;and#160;and#160;and#160;and#160; Sujit Kapadia, Mathias Drehmann, John Elliott, and Gabriel Sterne
Commentand#160;Mikhail Oet
2. Endogenous and Systemic Risk
and#160;and#160;and#160;and#160;and#160;and#160;and#160; Jon Danielsson, Hyun Song Shin, and Jean-Pierre Zigrand
Commentand#160;Bruce Mizrach
and#160;and#160;and#160;and#160;and#160;and#160;and#160; Terence C. Burnham
3. Systemic Risks and the Macroeconomy
and#160;and#160;and#160;and#160;and#160;and#160;and#160; Gianni De Nicolandograve; and Marcella Lucchetta
Commentand#160;Hao Zhou
4. Hedge Fund Tail Risk
and#160;and#160;and#160;and#160;and#160;and#160;and#160; Tobias Adrian, Markus K. Brunnermeier, and Hoai-Luu Q. Nguyen
Commentand#160;Ben Craig
5. How to Calculate Systemic Risk Surcharges
and#160;and#160;and#160;and#160;and#160;and#160;and#160; Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson
Commentand#160;Mathias Drehmann
6. The Quantification of Systemic Risk and Stability: New Methods and Measures
and#160;and#160;and#160;and#160;and#160;and#160;and#160; Romney B. Duffey
Commentand#160;Joseph G. Haubrich
Contributors
Author Index
Subject Index