Handbook on Systemic Risk
- Readily accessible to researchers, regulators and financial market risk managers
- Authors comprise experts in finance, economics, mathematics, statistics, financial market regulation, accounting, data management and computer science
- Encourages greater interaction between multiple academic disciplines
Product details
July 2013Hardback
9781107023437
992 pages
254 × 178 × 41 mm
1.86kg
25 b/w illus. 140 colour illus. 75 tables
Available
Table of Contents
- Introduction
- Contributors
- Part I. Data: The Prerequisite for Managing Systemic Risk:
- 1. Systemic risk information requirements: current environment, needs, and approaches for development
- 2. Aligning models and data for systemic risk analysis
- 3. Applying FpML
- 4. Data integration for systemic risk in the financial system
- 5. Semantics in systemic risk management
- Part II. Statistics and Systemic Risk:
- 6. Statistical assessments of systemic risk measures
- 7. Regime switching models and risk measurement tools
- Part III. Measuring and Regulating Systemic Risk:
- 8. Measuring systemic risk
- 9. Taxing systemic risk
- 10. Analyzing systemic risk of the European banking sector
- Part IV. Networks:
- 11. Network models and systemic risk assessment
- 12. Strategic interactions on financial networks for the analysis of systemic risk
- 13. Network structure and systemic risk in banking systems
- Part V. Systemic Risk and Mathematical Finance:
- 14. Firms, banks and households
- 15. An agent-based computational model for bank formation and interbank networks
- 16. Diversification in financial networks may increase systemic risk
- 17. Systemic risk illustrated
- 18. Financial crisis and contagion: a dynamical systems approach
- Part VI. Counterparty Risk and Systemic Risk:
- 19. Pricing and mitigation of counterparty credit exposures
- 20. Counterparty contagion in context: contributions to systemic risk
- Part VII. Algorithmic Trading:
- 21. Market microstructure knowledge needed for controlling an intra-day trading process
- 22. Dynamical models of market impact and algorithms for order execution
- Part VIII. Behavioral Finance: The Psychological Dimension of Systemic Risk:
- 23. Fear, greed, and financial crises: a cognitive neurosciences perspective
- 24. Bubbles, crises, and heterogeneous beliefs
- 25. Systemic risk and sentiment
- Part IX. Regulation:
- 26. The new financial stability framework in Europe
- 27. Sector-level financial networks and macroprudential risk analysis in the Euro area
- 28. Systemic risk early warning system: a micro-macro prudential synthesis
- Part X. Computational Issues and Requirements:
- 29. Enabling data analysis for addressing systemic risk
- 30. Operational considerations in an analytic environment for systemic risk
- 31. Requirements for systemic risk management in the financial sector
- Part XI. Accounting Issues:
- 32. Accounting's role in the reporting, creation, and avoidance of systemic risk in financial institutions.