Systemic Risk: A Practitioner’s Guide to
Measurement, Management and Analysis
References: Chapter 3
[this page | pdf | back links]
This book
provides readers with a wide-ranging guide to systemic risk in the financial
system. References in Chapter 3 include:
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implications of IFRS 9. CEMFI, mimeo
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Brinkhoff, J., Georgiev, S., Héam, J-C, Moldovan, I. and Scotto di Carlo, M.
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Paper No 7
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Gaib, P. and Marsilic, M. (2011). Rollover risk, network structure and
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BCBS (2016a).
Discussion Paper: Regulatory treatment of accounting provisions. Basel
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BCBS (2016b).
Minimum capital requirements for market risk. Basel Committee on Banking
Supervision
BCBS (2016c).
Consultative Document: Reducing variation in credit risk-weighted assets -
constraints on the use of internal model approaches. Basel Committee on
Banking Supervision
BCBS (2016d).
Consultative Document: Standardised Measurement Approach for operational risk. Basel
Committee on Banking Supervision
Benford, J.
and Nier, E. (2007). Monitoring cyclicality of Basel II capital
requirements. Bank of England, Financial Stability Paper No. 3, December
2007
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M.K. (2009). Deciphering the Liquidity and Credit Crunch 2007-09. Journal
of Economic Perspectives, 23, No 1, Winter 2009, pp. 77-100
Brunnermeier,
M.K., Langfield, S., Pagano, M., Reis, R., Van Nieuwerburgh, S. and Vayanos, D.
(2016). ESBies: Safety in the tranches. ESRB Working Paper Series,
No 21
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L. and Wingfield, V. (2015). Bank failure and bail in: an introduction. Bank
of England Quarterly Bulletin 2015 Q3
Devasabai, L.
(2014). No arbitrage. Risk, September 2014
Dymski, G.A.
(2011). Genie out of the Bottle: The Evolution of Too-Big-to-Fail Policy
and Banking Strategy in the US. Post-Keynesian Economics Study Group
ESRB (2016c).
Indirect contagion: the policy problem. European Systemic Risk Board,
Occasional Paper 9
European
Union (2014a). Bank Recovery and Resolution Directive, i.e. Directive
2014/59/EU. European Union
FDIC (2000). An
Examination of the Banking Crises of the 1980s and Early 1990s. Federal
Deposit Insurance Corporation
Federal
Reserve (2014a). Guidance for 2013 Section 165(d) Annual Resolution Plan
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Plans in 2012. Federal Deposit Insurance Corporation, Board of Governors of
the Federal Reserve System
Federal
Reserve (2014b). Guidance for 2013 Section 165(d) Annual Resolution Plan
Submissions by Foreign-Based Covered Companies that Submitted Initial
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Financial
Times (2008). Aegon gets EUR 3bn in government capital. Financial Times,
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Vital, M. and Minot, D. (2015). Insurance and Financial Stability. Bank
of England Quarterly Bulleting 2015 Q3
FSB (2014a). Consultative
Document: Assessment Methodologies for Identifying Non-Bank Non-Insurer Global
Systemically Important Financial Institutions: Proposed High-Level Framework
and Specific Methodologies. Financial Stability Board
FSB (2015a).Consultative
Document (2nd): Assessment Methodologies for Identifying Non-Bank Non-Insurer
Global Systemically Important Financial Institutions: Proposed High-Level
Framework and Specific Methodologies. Financial Stability Board
FSB (2015b). Principles
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(2009). A review of corporate governance in UK banks and other financial
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potential implications of the Credit Crisis. Presentation to Institute and
Faculty of Actuaries Risk and Investment Risk Conference, June 2010
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Leuz, C. (2010). Did fair-value accounting contribute to the financial
crisis? Journal of Economic Perspectives, 24, 93–118
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(2007). Behavioural investing: A practitioner’s guide to applying behavioural
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PRA (2015a). The
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2012 Annual Global Corporate Default Study and Rating Transitions. Standard
& Poor’s
References in other chapters are available here.
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