/

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:

 

Abad, J. and Suarez, J. (2016). A recursive model for the assessment of the cyclical implications of IFRS 9. CEMFI, mimeo

Alves,I., Brinkhoff, J., Georgiev, S., Héam, J-C, Moldovan, I. and Scotto di Carlo, M. (2015). Network analysis of the EU insurance sector. ESRB Occasional Paper No 7

Anand, K., Gaib, P. and Marsilic, M. (2011). Rollover risk, network structure and systemic financial crises. SSRN

Bank of England (2008). Financial Stability Report, October 2008. Bank of England

Bank of England (2009). Recovery and Resolution Plans - Remarks by Andrew Bailey. Bank of England News Release, 17 November 2009

Bank of England (2015). Financial Stability Report, July 2015. Bank of England

BCBS (2016a). Discussion Paper: Regulatory treatment of accounting provisions. Basel Committee on Banking Supervision

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

Brunnermeier, 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

Chennells, 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 Submissions by Domestic Covered Companies that Submitted Initial Resolution 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 Resolution Plans in 2012. Federal Deposit Insurance Corporation, Board of Governors of the Federal Reserve System

Financial Times (2008). Aegon gets EUR 3bn in government capital. Financial Times, 28 October 2008

French, A., 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 on Loss-absorbing and Recapitalisation Capacity of G-SIBs in Resolution, Total Loss-absorbing Capacity (TLAC) Term Sheet. Financial Stability Board

Heidorn, T. and Kahlert, D. (2010). Implied Correlations of iTraxx Tranches during the Financial Crisis. Frankfurt School - Working Paper Series

HM Treasury (2009). A review of corporate governance in UK banks and other financial industry entities - Final Recommendations. UK HM Treasury, November 2009

Huizinga, H. and Laeven, L. (2010). Bank Valuation and Regulatory Forbearance During a Financial Crisis. SSRN

IASB (2014). IFRS 9 Financial Instruments: Project Summary. International Accounting Standards Board

IMF (2009). Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations: Report to the G-20 Finance Ministers and Central Bank Governors. International Monetary Fund, Bank for International Settlements and Financial Stability Board

Kahneman, D. (2011). Thinking, Fast and Slow. Penguin Books, London, UK

Kemp, M.H.D. (2005). Risk Management in a Fair Valuation World. British Actuarial Journal, 11, No 4, pp. 595-712

Kemp, M.H.D. (2009). Market consistency: Model calibration in imperfect markets. John Wiley & Sons, Chichester, UK

Kemp, M.H.D. and Varnell, E. (2010). Regulatory frameworks - lessons learned and potential implications of the Credit Crisis. Presentation to Institute and Faculty of Actuaries Risk and Investment Risk Conference, June 2010

Laux, C., and Leuz, C. (2010). Did fair-value accounting contribute to the financial crisis? Journal of Economic Perspectives, 24, 93–118

Montier, J. (2007). Behavioural investing: A practitioner’s guide to applying behavioural finance. John Wiley & Sons, Chichester, UK

PRA (2015a). The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP). The Bank of England, Prudential Regulation Authority

S&P (2013b). 2012 Annual Global Corporate Default Study and Rating Transitions. Standard & Poor’s

 

 

References in other chapters are available here.

 


NAVIGATION LINKS
Contents | Prev | Next


Desktop view | Switch to Mobile