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Umfang: 1 online resource (xxviii, 964 pages) : , digital, PDF file(s).

Ausgabe: 1st ed.

ISBN: 1-316-09068-X , 1-107-27395-1 , 1-107-27844-9 , 1-107-27721-3 , 1-299-74931-3 , 1-107-27518-0 , 1-139-15118-5

Inhalt: The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Anmerkung: Title from publisher's bibliographic system (viewed on 05 Oct 2015). , Data : the prerequisite for managing systemic risk -- Statistics and systemic risk -- Measuring and regulating systemic risk -- Networks -- Systemic risk and mathematical finance -- Counterparty risk and systemic risk -- Algorithmic trading -- Behavioral finance : the psychological dimension of systemic risk -- Regulation -- Computational issues and requirements -- Accounting issues. , English

Weitere Ausg.: ISBN 1-107-02343-2

Sprache: Englisch

Fachgebiete: Wirtschaftswissenschaften , Mathematik

URL: Volltext  (URL des Erstveröffentlichers)

URL: https://doi.org/10.1017/CBO9781139151184

URL: https://doi.org/10.1017/CBO9781139151184

URL: Volltext  (URL des Erstveröffentlichers)

URL: Volltext  (lizenzpflichtig)

URL: Inhaltstext

URL: Volltext  (lizenzpflichtig)

URL: Inhaltstext

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Umfang: XXVIII, 964 S. : , Ill., graph. Darst.

Ausgabe: 1. publ.

ISBN: 1-107-02343-2 , 978-1-107-02343-7

Anmerkung: Literaturangaben

Sprache: Englisch

Fachgebiete: Wirtschaftswissenschaften , Mathematik

Schlagwort(e): Kreditmarkt ; Risikoanalyse ; Risikomanagement ; Handbuch ; Aufsatzsammlung

URL: http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026086130&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA

URL: Inhaltsverzeichnis

URL: Autorenbiografie

URL: Verlagsangaben

URL: Inhaltsverzeichnis

URL: Inhaltstext

URL: Autorenbiografie

URL: Verlagsangaben

URL: Inhaltsverzeichnis

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Umfang: 1 online resource (994 pages)

Ausgabe: 1st ed.

ISBN: 9781107023437 , 9781107273955

Inhalt: Written by experts in the field, this book provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. It is the editors' aim to stimulate greater interdisciplinary academic research on this critically important topic with immense societal implications

Anmerkung: Intro -- Handbook on Systemic Risk -- Contents -- Contributors -- Introduction -- Part I: Data: The Prerequisite for Managing Systemic Risk -- Data for Systemic Risk -- 1 Systemic Risk Information Requirements: Current Environment, Needs, and Approaches for Development -- 1.1 Introduction -- 1.2 Purpose -- 1.3 Overview of types of systemic risk information required -- 1.4 Overview of the financial landscape -- 1.4.1 Financial institutions -- 1.4.2 Market data -- 1.4.3 Financial market utilities -- 1.5 Observations on the state of financial data within financial institutions -- 1.5.1 Observations on risk data from global risk management survey -- 1.5.2 Product complexity inherently challenges data standards and aggregation -- 1.5.3 Lack of industry standards -- 1.5.4 Public policy issues exist which may need to be solved for an effective industry wide information solution -- 1.6 The challenge ahead for systemic risk information collection -- 1.6.1 The Office of Financial Research -- 1.6.2 Legal Entity Identifiers -- 1.7 Paths for collection of systemic risk information -- 1.8 Conclusions -- 1.8.1 Key decisions - Level of granularity -- 1.8.2 Establishment of standards -- 1.8.3 Areas for further research -- 1.8.4 Overall conclusion -- Bibliography -- 2 Aligning Models and Data for Systemic Risk Analysis -- 2.1 Introduction -- 2.2 Data aggregation and statistical inference: at what level of detail should data be collected? -- 2.3 Data linkage -- 2.3.1 Challenges in defining key relationships -- 2.4 Aligning data and models -- 2.5 A brief comment on confidentiality, anonymization and the role of consortia -- 2.6 Conclusion -- Bibliography -- 3 Applying FpML -- 3.1 Introduction -- 3.1.1 Derivatives products -- 3.1.2 ISDA and standardization -- 3.1.3 Brief history of FpML -- 3.1.4 ISDA and FpML -- 3.1.5 FpML scope -- 3.1.6 FpML usage -- 3.2 Inside FpML , 11.6.4 An alternative interpretation of the empirical findings -- 11.7 Extensions -- Bibliography -- 12 Strategic Interactions on Financial Networks for the Analysis of Systemic Risk -- 12.1 Financial networks and systemic risk -- 12.2 Diffusion-like processes over networks -- 12.2.1 Behavioral foundation -- 12.2.2 Empirical model and identification issues -- 12.2.3 Interpretation: the systemic risk multiplier -- 12.3 An empirical application: the CME market -- 12.3.1 Estimation results -- 12.4 Conclusions and policy implications -- Bibliography -- 13 Network Structure and Systemic Risk in Banking Systems -- 13.1 Introduction -- 13.1.1 Contribution -- 13.1.2 Outline -- 13.2 The network structure of banking systems -- 13.2.1 Counterparty Networks -- 13.2.2 A complex heterogeneous network: the Brazilian banking system -- 13.3 Systemic risk and default contagion -- 13.3.1 Default mechanism -- 13.3.2 Loss contagion -- 13.3.3 Contagion Index of a financial institution -- 13.4 Is default contagion a significant source of systemic risk? -- 13.5 What makes an institution systemically important? -- 13.5.1 Size of interbank liabilities -- 13.5.2 Centrality and counterparty susceptibility -- 13.6 Does one size fit all? The case for targeted capital requirements -- Bibliography -- Part V: Systemic Risk and Mathematical Finance -- Systemic Risk and Mathematical Finance -- 14 Firms, Banks and Households -- 14.1 Introduction -- 14.2 Modelling assumptions -- 14.3 Summary -- 14.4 Examples -- 14.4.1 Possible choices for h and U. -- 14.4.2 Simulation -- 14.5 Numerical results -- Bibliography -- 15 An Agent-Based Computational Model for Bank Formation and Interbank Networks -- 15.1 Introduction -- 15.2 The pre-banking society -- 15.2.1 Agents, investment choices, and preference shocks -- 15.2.2 Searching for partners -- 15.2.3 Learning and predicting , 15.3 Introducing banks , 3.2.1 Structure and principals -- 3.2.2 Neutral view -- 3.2.3 Generic identifiers -- 3.2.4 Model views -- 3.2.5 Trades -- 3.2.6 Products -- 3.2.7 Processes -- 3.2.8 Reporting views -- 3.3 Application to systemic risk -- 3.3.1 Regulatory uses -- 3.3.2 Clearing -- 3.3.3 Standardized products -- 3.3.4 Future work -- 3.4 Conclusions -- Bibliography -- 4 Data Integration for Systemic Risk in the Financial System -- 4.1 The systemic risk data integration challenge -- 4.1.1 Reconciling heterogeneity and data standards -- 4.1.2 Limits of standardization and a realistic strategy -- 4.1.3 Chapter roadmap -- 4.2 Data integration task model -- 4.3 Standards for data exchange -- 4.3.1 Standards that specify a physical data structure for exchange -- 4.3.2 Standards that permit alternative representations in the exchange -- 4.3.3 Descriptive standards without a prescribed exchange format -- 4.3.4 Pragmatics of standards -- 4.4 Tools for reconciling heterogeneity -- 4.4.1 Metadata repositories -- 4.4.2 Tools for helping understanding -- 4.4.3 Match tools -- 4.4.4 Map and codegen -- 4.4.5 Pragmatics of tool usage and insertion -- 4.5 Research questions -- 4.5.1 Financial informatics research questions -- 4.5.2 Research questions in information systems and computer systems -- 4.6 Conclusions -- Bibliography -- 5 Semantics in Systemic Risk Management -- 5.1 Dealing with semantics -- 5.1.1 Self-asserted semantics -- 5.1.2 Human readable definitions -- 5.1.3 Data dictionaries -- 5.1.4 Community semantics and definitions -- 5.1.5 Terminology -- 5.1.6 Taxonomies -- 5.1.7 Ontology -- 5.1.8 Conceptual semantics modeling summary -- 5.1.9 Syntax and semantics -- 5.2 Creating an ontology -- 5.2.1 Ontology -- 5.2.2 Adding concepts to an ontology -- 5.2.3 Rendering ontologies for business consumption -- 5.2.4 Semantic web notations -- 5.2.5 Semantic web terminology , 5.2.6 The open world assumption -- 5.2.7 Legal and operational facts -- 5.2.8 Operational and conceptual ontologies -- 5.2.9 Necessary and incidental facts -- 5.3 Semantic technology applications -- 5.3.1 Reasoning -- 5.3.2 Semantic querying -- 5.3.3 Classification -- 5.4 Operational data -- 5.4.1 Individuals -- 5.4.2 Representing instance data -- 5.5 Summary -- 5.6 The financial industry business ontology -- 5.6.1 FIBO and classification -- 5.6.2 Subject matter expert reviews -- 5.6.3 Global terms and shared semantics -- 5.6.4 Archetypes and partitioning -- 5.6.5 Additional metadata -- 5.7 FIBO and systemic risk -- 5.7.1 Risk -- 5.7.2 Semantic technology applications in systemic risk -- 5.7.3 Contractual terms and unhappy paths -- 5.7.4 Semantics for systemic risk conclusions -- Bibliography -- Part II: Statistics and Systemic Risk -- Statistics and Systemic Risk -- 6 Statistical Assessments of Systemic Risk Measures -- 6.1 Introduction and background on systemic risk -- 6.2 CoVaR -- 6.2.1 Original definition -- 6.2.2 Alternative definition -- 6.2.3 Closed-form expressions -- 6.2.4 Numerical example -- 6.3 Marginal Expected Shortfall -- 6.3.1 Systemic Expected Shortfall -- 6.3.2 Closed-form expressions -- 6.3.3 Numerical example -- 6.4 Other tail dependence measures -- 6.4.1 Exceedances -- 6.4.2 Exceedance correlation -- 6.4.3 Coexceedances and exceedance correlation for systemic risk measurement -- 6.5 Conclusions andamp -- alternative systemic measure -- Bibliography -- 7 Regime Switching Models and Risk Measurement Tools -- 7.1 Introduction -- 7.2 Using regime shifting models with historical data -- 7.2.1 Modeling volatility -- 7.2.2 Modeling the correlation -- 7.3 Using forward-looking data -- 7.4 Conclusions -- Bibliography -- Part III: Measuring and Regulating Systemic Risk -- Measuring and Regulating Systemic Risk -- 8 Measuring Systemic Risk , 8.1 The Dodd-Frank Wall Street reform and Consumer Protection Act -- 8.2 Evaluation of the Dodd-Frank Act -- 8.3 NYU Stern systemic risk rankings -- Bibliography -- 9 Taxing Systemic Risk -- 9.1 Systemic risk and the financial crisis of 2007 to 2009 -- 9.2 Regulating systemic risk -- 9.3 The Dodd-Frank Wall Street reforms and Consumer Protection Act of 2010 -- 9.4 A tax on systemic risk -- 9.5 Summary -- Bibliography -- 10 Analyzing Systemic Risk of the European Banking Sector -- 10.1 Introduction -- 10.2 Methodology - measuring systemic risk -- 10.3 Data and summary statistics -- 10.4 Measuring systemic risk of European banks -- 10.4.1 Identifying systemically important financial institutions (SIFIs) as of June 2007 -- 10.4.2 Capital shortfall -- 10.4.3 Ranking the countries according to their SIFIs -- 10.4.4 Comparing risk rankings over time -- 10.5 Responses to the financial crisis of 2007-2009 -- 10.5.1 Policy response -- 10.5.2 Equity and rights issues of European banks -- 10.6 After the crisis is before the crisis - the sovereign debt crisis of 2010 -- 10.6.1 Sovereign debt exposure as a source of systemic risk -- 10.6.2 Restoring market confidence -- 10.7 Conclusion -- Bibliography -- Part IV: Networks -- Networks: Introduction -- 11 Network Models and Systemic Risk Assessment -- 11.1 Introduction -- 11.2 A network model of interbank exposures and contagion risk -- 11.3 Estimating network exposures -- 11.4 Creating loss scenarios -- 11.4.1 Idiosyncratic bank failures -- 11.4.2 Loss scenarios based on bank exposure data -- 11.4.3 Loss scenarios estimated from market data -- 11.5 Clearing in the interbank market -- 11.6 Empirical findings -- 11.6.1 Contagion is likely to be rare -- 11.6.2 Domino effects are likely to occur only in doomsday scenarios -- 11.6.3 What are the findings of other simulation studies?

Weitere Ausg.: Print version Fouque, Jean-Pierre Handbook on Systemic Risk New York : Cambridge University Press,c2013 ISBN 9781107023437

Sprache: Englisch

Schlagwort(e): Electronic books

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Umfang: xxviii, 964 p. : , ill. (some col.)

Ausgabe: Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.

Sprache: Englisch

Schlagwort(e): Electronic books.

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