Quantifying Systemic Risk
Joseph G. Haubrich and Andrew W. Lo, editors
Conference held November 6, 2009
Published in January 2013 by University of Chicago Press
© 2013 by the National Bureau of Economic Research
NBER Program(s):AP, EFG
More information on purchasing this book
273 pages
ISBN: 0-226-31928-8
Table of Contents
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Introduction:
Joseph G. Haubrich, Andrew W. Lo
(p. 1 - 10)
(bibliographic info)
(download)
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Systemic Risk and Financial Innovation: Toward a "Unified" Approach:
Henry T. C. Hu
(p. 11 - 28)
(bibliographic info)
(download)
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1.
Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks:
Sujit Kapadia, Matthias Drehmann, John Elliott, Gabriel Sterne
(p. 29 - 61)
(bibliographic info)
(download)
Comment:
Mikhail V. Oet
(p. 61 - 71)
(bibliographic info)
(download)
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2.
Endogenous and Systemic Risk:
Jon Danielsson, Hyun Song Shin, Jean-Pierre Zigrand
(p. 73 - 94)
(bibliographic info)
(download)
Comment:
Bruce Mizrach
(p. 94 - 105)
(bibliographic info)
(download)
Comment:
Terence C. Burnham
(p. 105 - 112)
(bibliographic info)
(download)
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3.
Systemic Risks and the Macroeconomy:
Gianni De Nicolò, Marcella Lucchetta
(p. 113 - 148)
(bibliographic info)
(download)
(Working Paper version)
Comment:
Hao Zhou
(p. 149 - 153)
(bibliographic info)
(download)
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4.
Hedge Fund Tail Risk:
Tobias Adrian, Markus K. Brunnermeier, Hoai-Luu Q. Nguyen
(p. 155 - 172)
(bibliographic info)
(download)
Comment:
Ben Craig
(p. 173 - 174)
(bibliographic info)
(download)
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5.
How to Calculate Systemic Risk Surcharges:
Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, Matthew Richardson
(p. 175 - 212)
(bibliographic info)
(download)
Comment:
Mathias Drehmann
(p. 212 - 221)
(bibliographic info)
(download)
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6.
The Quantification of Systemic Risk and Stability: New Methods and Measures:
Romney B. Duffey
(p. 223 - 262)
(bibliographic info)
(download)
(Working Paper version)
Comment:
Joseph G. Haubrich
(p. 262 - 263)
(bibliographic info)
(download)
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