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Handbook on Systemic Risk

Jean-Pierre Fouque and Joseph A. Langsam, editors
Cambridge University Press
Publication Date: 
Number of Pages: 
We do not plan to review this book.

Part I. Data: The Prerequisite for Managing Systemic Risk:
1. Systemic risk information requirements: current environment, needs, and approaches for development
2. Aligning models and data for systemic risk analysis
3. Applying FpML
4. Data integration for systemic risk in the financial system
5. Semantics in systemic risk management
Part II. Statistics and Systemic Risk:
6. Statistical assessments of systemic risk measures
7. Regime switching models and risk measurement tools
Part III. Measuring and Regulating Systemic Risk:
8. Measuring systemic risk
9. Taxing systemic risk
10. Analyzing systemic risk of the European banking sector
Part IV. Networks:
11. Network models and systemic risk assessment
12. Strategic interactions on financial networks for the analysis of systemic risk
13. Network structure and systemic risk in banking systems
Part V. Systemic Risk and Mathematical Finance:
14. Firms, banks and households
15. An agent-based computational model for bank formation and interbank networks
16. Diversification in financial networks may increase systemic risk
17. Systemic risk illustrated
18. Financial crisis and contagion: a dynamical systems approach
Part VI. Counterparty Risk and Systemic Risk:
19. Pricing and mitigation of counterparty credit exposures
20. Counterparty contagion in context: contributions to systemic risk
Part VII. Algorithmic Trading:
21. Market microstructure knowledge needed for controlling an intra-day trading process
22. Dynamical models of market impact and algorithms for order execution
Part VIII. Behavioral Finance: The Psychological Dimension of Systemic Risk:
23. Fear, greed, and financial crises: a cognitive neurosciences perspective
24. Bubbles, crises, and heterogeneous beliefs
25. Systemic risk and sentiment
Part IX. Regulation:
26. The new financial stability framework in Europe
27. Sector-level financial networks and macroprudential risk analysis in the Euro area
28. Systemic risk early warning system: a micro-macro prudential synthesis
Part X. Computational Issues and Requirements:
29. Enabling data analysis for addressing systemic risk
30. Operational considerations in an analytic environment for systemic risk
31. Requirements for systemic risk management in the financial sector
Part XI. Accounting Issues:
32. Accounting's role in the reporting, creation, and avoidance of systemic risk in financial institutions.