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Systemic riskhistory, measurement an...

Kreis, Yvonne.

Systemic riskhistory, measurement and regulation /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Systemic riskYvonne Kreis, Dietmar Leisen, Jorge Ponce.
Reminder of title:	history, measurement and regulation /
remainder title:	History, measurement and regulation
Author:	Kreis, Yvonne.
other author:	Leisen, Dietmar.
Published:	Singapore :World Scientific Publishing Co. Pte. Ltd.,c2019.
Description:	1 online resource :ill.
Subject:	Financial risk management.
Online resource:	https://www.worldscientific.com/worldscibooks/10.1142/11301#t=toc
ISBN:	9789811201066$q(electronic bk.)

Systemic riskhistory, measurement and regulation /
Kreis, Yvonne.

Systemic riskhistory, measurement and regulation /[electronic resource] :History, measurement and regulationYvonne Kreis, Dietmar Leisen, Jorge Ponce. - 1st ed. - Singapore :World Scientific Publishing Co. Pte. Ltd.,c2019. - 1 online resource :ill.

Includes bibliographical references (p. 159-174)

Intro ; Contents ; Acknowledgements ; List of Figures ; List of Tables ; About the Authors ; Introduction ; Part 1. History ; 1. Major systemic crises across continents at the end of the 20th century ; 1.1 North America ; 1.1.1 The Savings & Loan crisis ; 1.1.2 Continental Illinois and the too-big-to-fail policy ; 1.2 Latin America ; 1.2.1 The Chilean crisis ; 1.2.2 The Mexican peso crisis ; 1.2.3 The Argentine and Uruguayan crises ; 1.3 Europe ; 1.3.1 The Spanish banking crisis of 1977 ; 1.3.2 The Nordic crises of the 1990s ; 1.4 Asia ; 1.4.1 The Japanese bank crisis of the 1990s ; 1.4.2 The Asian crisis of 1997.

ISBN: 9789811201066$q(electronic bk.)Subjects--Topical Terms:

258406
Financial risk management.

LC Class. No.: HD61

Dewey Class. No.: 338.5

Systemic riskhistory, measurement and regulation /
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245 1 0 $a Systemic risk $h [electronic resource] : $b history, measurement and regulation / $c Yvonne Kreis, Dietmar Leisen, Jorge Ponce.
246 3 0 $a History, measurement and regulation
250 $a 1st ed.
260 $a Singapore : $b World Scientific Publishing Co. Pte. Ltd., $c c2019.
300 $a 1 online resource : $b ill.
504 $a Includes bibliographical references (p. 159-174)
505 0 $a Intro ; Contents ; Acknowledgements ; List of Figures ; List of Tables ; About the Authors ; Introduction ; Part 1. History ; 1. Major systemic crises across continents at the end of the 20th century ; 1.1 North America ; 1.1.1 The Savings & Loan crisis ; 1.1.2 Continental Illinois and the too-big-to-fail policy ; 1.2 Latin America ; 1.2.1 The Chilean crisis ; 1.2.2 The Mexican peso crisis ; 1.2.3 The Argentine and Uruguayan crises ; 1.3 Europe ; 1.3.1 The Spanish banking crisis of 1977 ; 1.3.2 The Nordic crises of the 1990s ; 1.4 Asia ; 1.4.1 The Japanese bank crisis of the 1990s ; 1.4.2 The Asian crisis of 1997.
505 8 $a 1.5 Australia1.6 Africa and Middle East ; 1.6.1 Systemic crises in African countries ; 1.6.2 The Israeli bank crisis of 1983 ; 2. Major systemic crisis in the 21st century ; 2.1 The global financial crisis ; 2.1.1 The subprime crisis & the fall of Lehman Brothers ; 2.1.2 The global dimension ; 2.1.3 The systemic crisis in Iceland ; 2.2 The European sovereign debt crisis ; 3. Common features in the history of systemic crises ; 3.1 Systemic crises at the end of the 20th century ; 3.2 Systemic crises of the 21st century ; 3.3 Main historical insights ; Part 2. Measurement ; 4. Defining systemic risk.
505 8 $a 4.1 Channels of systemic risk 4.1.1 Macroeconomic shocks ; 4.1.2 Domino defaults ; 4.1.3 Imbalances in risk allocation ; 4.2 Outcomes of systemic risk ; 5. Characterizing systemic risk ; 5.1 Economic concepts ; 5.1.1 Propagation ; 5.1.2 Temporal and cross-sectional aspects ; 5.2 Features of systemic risk measures ; 5.2.1 Measurement object ; 5.2.2 Expectation and conditioning ; 5.2.3 Data and estimation; 5.3 An overview of measures based on market data ; 6. Main systemic risk measures ; 6.1 Measures based on Value-at-Risk; 6.2 Measures based on expected shortfall.
505 8 $a 6.2.1 Systemic and marginal expected shortfall6.2.2 SRISK ; 6.3 Measures based on factor models ; 6.3.1 Principal component analysis ; 6.3.2 The size and heterogeneity of single factor loadings ; 6.3.3 Conditional expected default frequency ; 6.4 Comparison ; 7. Systemic risk around the world ; 7.1 Dataset and implementation issues ; 7.2 Worldwide systemic risk ; 7.3 Systemic risk across geographical regions ; 7.4 Systemic risk across countries ; 7.5 Main insights ; Part 3. Regulation ; 8. Justifying prudential regulation; 8.1 A conceptual roadmap ; 8.2 Challenges to prudential regulation.
505 8 $a 8.3 The need for prudential regulation9. Prudential perspectives ; 9.1 Micro-prudential perspective ; 9.2 Macro-prudential perspective ; 9.2.1 Cross-sectional dimension ; 9.2.2 Time dimension ; 9.3 Resolution policies ; 10. Institutional frameworks for financial stability ; 10.1 Financial stability committees ; 10.2 Challenges to the institutional design ; 10.3 Systemic risk identification and assessment ; 10.3.1 A decentralized framework for identification ; 10.3.2 Coordinated assessment in a committee ; 10.4 Prudential policy coordination ; Bibliography.
588 $a Online resource; title from PDF title page (EBSCO, viewed June 13, 2019)
650 0 $a Financial risk management. $3 258406
650 0 $a Financial risk $x Econometric models. $3 693695
700 1 $a Leisen, Dietmar. $3 875319
700 1 $a Ponce, Jorge. $3 875320
856 4 0 $u https://www.worldscientific.com/worldscibooks/10.1142/11301#t=toc