Systemic Risk: A Practitioner’s Guide to
Measurement, Management and Analysis
References: Chapter 8
[this page | pdf | back links]
This book
provides readers with a wide-ranging guide to systemic risk in the financial
system. References in Chapter 7 include:
Almgren,
R. and Chriss, N. (2001). Optimal execution of portfolio transactions. Journal
of Risk, 3, 5-39
BCBS (2012). Consultative
Document: Fundamental Review of the Trading Book. Basel Committee on Banking
Supervision
DTCC (2015). Understanding
Interconnectedness Risks. DTCC
FCA (2014a). One
Minute Guide - EU Regulation on OTC derivatives (EMIR). UK Financial Conduct
Authority, 12 September 2014
FCA (2014c). Capital
Requirements Directive (CRD IV) FAQs. UK Financial Conduct Authority,
viewed 18 September 2014
Fouque,
J-P. and Langsam, J.A. (2013). Handbook of Systemic Risk. Cambridge
University Press, Cambridge, UK
FRC (2014). The
UK Corporate Governance Code (September 2014). Financial Reporting Council
Fruth, A.,
Schöneborn, T. and Urusov, M. (2011). Optimal trade execution and price
manipulation in order books with time-varying liquidity. SSRN
Gale, D.
and Yorulmazer, T. (2011). Liquidity hoarding. SSRN
HM Treasury
(2009). A review of corporate governance in UK banks and other financial
industry entities - Final Recommendations. UK HM Treasury, November 2009
IAA (2009). Note
on Enterprise Risk Management for Capital and Solvency Purposes in the
Insurance Industry. International Actuarial Association
IAA (2013). Stress
Testing and Scenario Analysis. International Actuarial Association Insurance
Regulation Committee
Khwaja, A.
(2016). USD OIS Swap Volumes Surge. Clarus Financial Technology
Reinhart,
C.M. and Rogoff, K.S. (2009). This Time is Different: Eight Centuries of
Financial Folly. Princeton University Press, Princeton, New Jersey
References in other chapters are available here.
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