Systemic Risk: A Practitioner’s Guide to
Measurement, Management and Analysis
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This book, published in late Summer / Autumn 2017, provides
readers with a wide-ranging practical guide to systemic risk in the financial
system. It challenges the notion that systemic risk is exclusively about
interconnectivities within the financial system, showing that past systemic
risk crises have often involved a broader range of vulnerabilities.
It describes how regulators and governments are seeking to
manage systemic risk, and how their concerns are driving change in regulatory
and business environments across the financial sector. It sets out how firms
and practitioners can effectively respond to these changes (covering topics
such as data needs, quantification of risk exposures, management disciplines
and skillset requirements etc.). The book highlights the sources and
characteristics of systemic risk and the concentrations of exposures to this
risk. It also links systemic risk with other risk disciplines including
exploring how systemic risk ties in with liquidity risk and credit risk and how
it interacts with central clearing, collateralisation and pricing of
derivatives.
The book has been well received by some leading
commentators, see here.
The intention is that errors the author becomes aware of
that have crept into the book either before or as part of the publication
process will be summarised here.
References listed in the book are available through the
Nematrian reference library, see here for lists
of references appearing in individual chapters or here for the reference
library more generally.
Most of the Figures included in the book are copyright
Nematrian Limited 2017 and have been reproduced with kind permission of
Nematrian. Copies of these Figures are available here.
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