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Systemic Risk: A Practitioner’s Guide to Measurement, Management and Analysis

References: Chapter 5

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This book provides readers with a wide-ranging guide to systemic risk in the financial system. References in Chapter 5 include:

 

Acharya, V.V., Pedersen, L.H., Philippon, T. and Richardson, M. (2010). Measuring Systemic Risk. SSRN

Adrian, T. and Brunnermeier, M.K. (2011). CoVaR. Federal Reserve Bank of New York Staff Report No. 348

Bisias, D., Flood, M., Lo A.W. and Valavanis, S. (2012). A Survey of Systemic Risk Analytics. Office of Financial Research, Working Paper #0001

BCBS (2016e). Standards: Interest rate risk in the banking book. Basel Committee on Banking Supervision

CRMPG-III (2008). Containing Systemic Risk: The Road to Reform. Report of the Counterparty Risk Management Policy Group III, 6 August 2008

Duffie, D. (2011). Systemic Risk Exposures: A 10by10by10 Approach. www.darrellduffie.com

ECB (2010). Analytical Models and Tools for the Identification and Assessment of Systemic Risks. ECB, Financial Stability Review, June 2010, p138

Fouque, J-P. and Langsam, J.A. (2013). Handbook of Systemic Risk. Cambridge University Press, Cambridge, UK

Hollo, D., Kremer, M. and Lo Duca, M. (2012). CISS - A Composite Indicator of Systemic Stress in the Financial System. SSRN

IMF (2015b). United States Financial Sector Assessment Program: Stress Testing - Technical Note. International Monetary Fund

Kemp, M.H.D. (2009b). The VaR vs Tail VaR Mindset: Presentation to the Institute and Faculty of Actuaries Open Forum on Capital Adequacy - Is VaR the best approach. Institute and Faculty of Actuaries

Kemp, M.H.D. (2011). Extreme Events. Robust Portfolio Construction in the Presence of Fat Tails. John Wiley & Sons, Chichester, UK

Lucas, R.E. (1976). Econometric policy: A critique. ScienceDirect

McNeil, A.J., Frey, R. and Embrechts, P. (2005). Quantitative risk management: Concepts, Techniques, Tools. Princeton University Press, Princeton, New Jersey

Rebonato, R. (2010). Coherent stress testing. John Wiley & Sons, Chichester, UK

Staum, J. (2011). Systemic Risk Components and Deposit Insurance Premia. SSRN

Sweeting, P. (2011). Financial Enterprise Risk Management. Cambridge University Press, Cambridge, UK

 

 

References in other chapters are available here.

 

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