On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)

Robert C. Merton · Monica Billio · Mila Getmansky · Dale F. Gray · Andrew W. Lo · Loriana Pelizzon

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Risk Management in Financial Firms Global Financial Crisis and Policies Financial Risk and Volatility Modeling

Abstract

At the fifth annual CFA Institute European Investment Conference on 19 October 2012 in Prague, Robert C. Merton gave a presentation on analyzing and managing macrofinancial risk. This article is based on his talk and on research he carried out with his coauthors.

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1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory 2010Merton, Robert C.2008Macrofinancial Risk Analysis 2019Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk 2008Measuring and Analyzing Sovereign Risk with Contingent Claims

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