Challenges in Identifying and Measuring Systemic Risk

Lars Hansen

No 18505, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Sparked by the recent "great recession" and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this essay I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy.

JEL-codes: E44 (search for similar items in EconPapers)
Date: 2012-11
New Economics Papers: this item is included in nep-ban, nep-mac and nep-rmg
Note: CF
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Citations: View citations in EconPapers (27)

Published as Challenges in Identifying and Measuring Systemic Risk , Lars Peter Hansen. in Risk Topography: Systemic Risk and Macro Modeling , Brunnermeier and Krishnamurthy. 2014

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Related works:
Chapter: Challenges in Identifying and Measuring Systemic Risk (2013)
Working Paper: Challenges in Identifying and Measuring Systemic Risk (2013)
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