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Fouque Jean-Pierre

Handbook on systemic risk - Cambridge Cambridge University Press 2013 - 964p xx

Contents:
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.

ISBN: 9781107275188 9781107023437

Subjects--Topical Terms:
1. Financial Risk Management - Econometric Models

Dewey Class. No.: 332.042000 / FOU