TY  - JOUR
AU  - Hansen, Lars Peter
TI  - Challenges in Identifying and Measuring Systemic Risk
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 18505
PY  - 2012
Y2  - November 2012
DO  - 10.3386/w18505
UR  - http://www.nber.org/papers/w18505
L1  - http://www.nber.org/papers/w18505.pdf
N1  - Author contact info:
Lars P. Hansen
Department of Economics
The University of Chicago
1126 East 59th Street
Chicago, IL 60637
Tel: 773/702-8170
Fax: 773/702-8490
E-Mail: lhansen@uchicago.edu
M1  - published as Lars Peter Hansen. "Challenges in Identifying and Measuring Systemic Risk," in Markus Brunnermeier and Arvind Krishnamurthy, editors, "Risk Topography: Systemic Risk and Macro Modeling" University of Chicago Press (2014)

AB  - Sparked by the recent "great recession" and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this essay I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy.
ER  -