Handbook on Systemic Risk

Erscheinungsjahr 2013
ISBN: 978-1-107-02343-7
Verlag: Cambridge University Press

Buch, Englisch, 992 Seiten, Format (B × H): 177 mm x 254 mm, Gewicht: 1857 g

The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Autoren/Hrsg.

Fouque, Jean-Pierre

Langsam, Joseph A

Fachgebiete

• Mathematik | Informatik Mathematik Operations Research

Inhaltsverzeichnis

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.

Über Autor(innen)

Fouque, Jean-Pierre
Jean-Pierre Fouque is Professor and Director of the Center for Research in Financial Mathematics and Statistics at the University of California, Santa Barbara.

Langsam, Joseph A
Joseph A. Langsam spent twenty-five years at Morgan Stanley, where he collaborated with academic experts in mathematics and finance to develop and promote the derivative valuation and risk management models that are necessary for modern finance. Langsam is now CFP Policy Fellow in the Robert H. Smith School of Business at the University of Maryland, College Park.