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Measuring Systemic Risk

In: Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis

Author

Listed:
  • Viral V. Acharya

    (New York University, USA)

  • Christian Brownlees

    (Barcelona Graduate School of Economics, Spain)

  • Robert Engle

    (New York University, USA)

  • Farhang Farazmand

    (New York University, USA)

  • Matthew Richardson

    (New York University, USA)

Abstract

The following sections are included:OverviewThe Dodd-Frank Wall Street Reform and Consumer Protection ActEvaluation of the Dodd-Frank ACTMarket-Based Measures of Systemic RiskInterconnectednessStress TestsTransparencyNYU Stern Systemic Risk RankingsSystemic Risk MethodologySystemic Risk Analysis of the Financial Crisis of 2007 to 2009Appendix AUK BanksEuropean BanksJapanese BanksInsurersAppendix BAppendix C: Marginal Expected Shortfall (MES) and Supervisory Stress Test (SCAP)References

Suggested Citation

  • Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814417501_0003
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    More about this item

    Keywords

    Risk Management; Sovereign Risk; Systemic Risk; Liquidity; Credit Risk; Equity Risk Premium; Enterprise Risk Management;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G01 - Financial Economics - - General - - - Financial Crises

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