Deyan Radev
Measuring Systemic Risk: A Probabilistic Perspective
Measuring Systemic Risk: A Probabilistic Perspective
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This book provides a comprehensive methodology to measure systemic risk in many of its facets and dimensions based on state-of-the-art risk assessment methods. It is important for the new capital regulation to be successful and for sovereign risk to remain in check, and it introduces a number of systemic fragility indicators for banks and sovereigns.
Format: Paperback / softback
Length: 86 pages
Publication date: 09 February 2023
Publisher: Springer Nature Switzerland AG
This book offers a comprehensive approach to measuring systemic risk across various facets and dimensions, utilizing state-of-the-art risk assessment methodologies. Since the collapse of Lehman Brothers in 2008, systemic risk has garnered significant attention in the public sphere. The bankruptcy of the fourth-largest bank in the United States sparked concerns about whether banks deemed "too big to fail" and "too systemic to fail" should face higher capital surcharges based on their size and systemic significance. The aftermath of the Global Financial Crisis of 2008-2009 led to the Sovereign Debt Crisis in the euro area, where the first Eurozone government defaulted on its debt, prompting international efforts to prevent further domino and cascade effects on other Eurozone governments and banks. In this context, a meticulous assessment of systemic risk is paramount for the success of new capital regulations and the containment of sovereign risk.
Moreover, the book introduces a set of systemic fragility indicators specifically designed for banks and sovereigns, aiding in the evaluation of systemic risk and the impact of macroprudential and microprudential policies.
The importance of measuring systemic risk cannot be overstated, as it plays a crucial role in shaping financial stability and governance. By providing a comprehensive framework for assessing and managing systemic risk, this book contributes to the development of a more robust and resilient financial system.
Weight: 168g
Dimension: 235 x 155 (mm)
ISBN-13: 9783030942830
Edition number: 1st ed. 2022
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