Handbook on Systemic Risk

Cambridge University Press, 5/23/2013
EAN 9781107023437, ISBN10: 1107023432

Hardcover, 992 pages, 25.4 x 17.8 x 4.1 cm
Language: English

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.

Introduction
Contributors
Part I. Data
The Prerequisite for Managing Systemic Risk
1. Systemic risk information requirements
current environment, needs, and approaches for development
2. Aligning models and data for systemic risk analysis
3. Applying FpML
4. Data integration for systemic risk in the financial system
5. Semantics in systemic risk management
Part II. Statistics and Systemic Risk
6. Statistical assessments of systemic risk measures
7. Regime switching models and risk measurement tools
Part III. Measuring and Regulating Systemic Risk
8. Measuring systemic risk
9. Taxing systemic risk
10. Analyzing systemic risk of the European banking sector
Part IV. Networks
11. Network models and systemic risk assessment
12. Strategic interactions on financial networks for the analysis of systemic risk
13. Network structure and systemic risk in banking systems
Part V. Systemic Risk and Mathematical Finance
14. Firms, banks and households
15. An agent-based computational model for bank formation and interbank networks
16. Diversification in financial networks may increase systemic risk
17. Systemic risk illustrated
18. Financial crisis and contagion
a dynamical systems approach
Part VI. Counterparty Risk and Systemic Risk
19. Pricing and mitigation of counterparty credit exposures
20. Counterparty contagion in context
contributions to systemic risk
Part VII. Algorithmic Trading
21. Market microstructure knowledge needed for controlling an intra-day trading process
22. Dynamical models of market impact and algorithms for order execution
Part VIII. Behavioral Finance
The Psychological Dimension of Systemic Risk
23. Fear, greed, and financial crises
a cognitive neurosciences perspective
24. Bubbles, crises, and heterogeneous beliefs
25. Systemic risk and sentiment
Part IX. Regulation
26. The new financial stability framework in Europe
27. Sector-level financial networks and macroprudential risk analysis in the Euro area
28. Systemic risk early warning system
a micro-macro prudential synthesis
Part X. Computational Issues and Requirements
29. Enabling data analysis for addressing systemic risk
30. Operational considerations in an analytic environment for systemic risk
31. Requirements for systemic risk management in the financial sector
Part XI. Accounting Issues
32. Accounting's role in the reporting, creation, and avoidance of systemic risk in financial institutions.