MEASURING SYSTEMIC RISK

Viral Acharya

Chapter 10 in Macroprudential Regulatory Policies:The New Road to Financial Stability?, 2011, pp 133-143 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractI am going to talk about measuring systemic risk, based on my joint paper, “Measuring Systemic Risk,” with Lasse Pederson, Thomas Philippon, and Matt Richardson, who are all my colleagues at NYU Stern.The way bank regulations have been thought and implemented so far has invariably focused only on the risk of individual banks. So if we consider the supervision of an individual bank, we go in, we see what the bank has, we supervise, and check if everything is okay. As long as the bank is reasonably safe, you do nothing. Or consider Basel capital requirements: You look at the assets of the bank, figure out how many mortgages, how many corporate loans, what's on the trading book, apply some weights, or put some risk model in place. Then, calculate and impose a capital requirement and that's the end of the story…

Keywords: Macroprudential Regulation; Financial Regulation; Systemic Risk; Dodd-Frank; International Banking; Financial Crisis; Financial Stability; Bank Capital; Microprudential Regulation; Policy Tools; Cross-Border; Countercyclical Policy; Governance; Failure Resolution; Globalization; Basel III; Contingent Capital; Stress Tests (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (51)

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Related works:
Journal Article: Measuring Systemic Risk (2017)
Chapter: MEASURING SYSTEMIC RISK (2013)
Working Paper: Measuring Systemic Risk (2012)
Working Paper: Measuring systemic risk (2010)
Working Paper: Measuring systemic risk (2010)
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