Systemic Risk Assessment and Oversight (2nd edition)
First published:
ISBN: 9781782724155
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References
References
Preface
Why Systemic Risk Oversight Matters
The Bottom-up Approach to Systemic Risk
Fundamental Information and Firm-level Risk
Extracting Risk Measures from Credit Derivatives and Bonds
Equity-implied Methods and Risk-neutrality Transformations
Systemic Risk Measurement: Statistical Methods
CoRisk: Quantile Regressions in Practice
Balance-sheet Network Analysis
The Portfolio-based Approach to Systemic Risk
Advances in Modelling Systemic Risk in Financial Networks
Agent-based Models of the Financial System
The Regulation of Systemic Risk
The Effectiveness of Macroprudential Policy
Epilogue
References
Abbreviations
Test chapter
Acemoglu, D., A. Ozdaglar and A. Tahbaz-Salehi, 2015, “Systemic Risk and Stability in Financial Networks”, American Economic Review, 105(2), pp 564–608.
Acharya, V., 2011, “Governments as Shadow Banks: The Looming Threat to Financial Stability”, mimeo, New York University.
Acharya, V., L. Pedersen, T. Philippon and M. Richardson, “Regulating Systemic Risk”, in V. Acharya and M. Richardson (Eds), 2009, Restoring Financial Stability: How to Repair a Failed System (Hoboken, NJ: John Wiley & Sons).
Acharya, V., L. Pedersen, T. Philippon and M. Richardson, 2010, “Measuring Systemic Risk”, working paper, New York University.
Acharya, V. and M. Richardson (Eds), 2009, Restoring Financial Stability (New York, NY: Wiley).
Acharya, V., S. van Nieuwerburgh, M. Richardson and L. White, 2011, Guaranteed to Fail: Fannie Mae, Freddie Mac and the Debacle of Mortgage Finance (Princeton, NJ: Princeton University Press).
Acharya, V. and T. Yorulmazer, 2007, “Too Many to Fail – An Analysis of Time-inconsistency in Bank Closure Policies”, Journal of Financial Intermediation, 16(1), pp 1–31.
Adrian, T. and A. B. Ashcraft, 2012, “Shadow Banking Regulation”, Staff Report No. 559
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