Measuring Systemic Risk

Viral V. Acharya · Christian T. Brownlees · Robert F. Engle · Farhang Farazmand · Matthew P. Richardson

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Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Global Financial Regulation and Crises

Abstract

This chapter contains sections titled: Overview The Dodd-Frank Wall Street Reform and Consumer Protection Act Evaluation of the Dodd-Frank Act NYU Stern Systemic Risk Rankings Appendix A: Systemic Risk Institutions Appendix B: Supervisory Capital Assessment Program (SCAP) Appendix C: Marginal Expected Shortfall (MES) and Supervisory Stress Test (SCAP) Notes

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References

2007Network models and financial stability 2009Restoring Financial Stability 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 2009A framework for assessing the systemic risk of major financial institutions 2005Measuring systemic risk: A risk management approach 2010Measuring Systemic Risk 2007Using Counterfactual Simulations to Assess the Danger of Contagion in Interbank Markets 2009Assessing the Systemic Implications of Financial Linkages

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2013Why banks are not too big to fail - evidence from the CDS market 2013Systemic Risk and the Solvency-Liquidity Nexus of Banks

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