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Working paper
Growth Fragility and Systemic Risk Under Model Uncertainty
SSRN
Uncertainty Aversion and Systemic Risk
In: Journal of Political Economy 2019 127:3, 1118-1155
SSRN
Uncertainty Aversion and Systemic Risk
In: Journal of political economy, Band 127, Heft 3, S. 1118-1155
ISSN: 1537-534X
Regulatory Complexity, Uncertainty, and Systemic Risk
In: Bank of Italy Occasional Paper No. 698
SSRN
Interconnectedness as a source of uncertainty in systemic risk
Financial networks have shown to be important in understanding systemic events in credit markets. In this paper, we investigate how the structure of those networks can affect the capacity of regulators to assess the level of systemic risk. We introduce a model to compute the individual and systemic probability of default in a system of banks connected in a generic network of credit contracts and exposed to external shocks with a generic correlation structure. Even in the presence of complete knowledge, we identify conditions on the network for the emergence of multiple equilibria. Multiple equilibria give rise to uncertainty in the determination of the default probability. We show how this uncertainty can affect the estimation of systemic risk in terms of expected losses. We further quantify the effects of cyclicality, leverage, volatility and correlations. Our results are relevant to the current policy discussions on new regulatory framework to deal with systemic events of distress as well as on the desirable level of regulatory data disclosure.
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Addressing Systemic Risk: Financial Regulatory Design
In: Texas International Law Journal, Band 49, Heft 149
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Uncertainty in Systemic Risks Rankings: Bayesian and Frequentist Analysis
In: FRL-D-23-00620
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ADDRESSING SYSTEMIC RISK: FINANCIAL REGULATORY DESIGN
In: Texas international law journal, Band 49, Heft 2, S. 149-200
ISSN: 0163-7479
Uncertainty in Systemic Risks Rankings: Bayesian and Frequentist Analysis
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Policy Uncertainty and Bank Systemic Risk: A Perspective of Risk Decomposition
In: INTFIN-D-22-00310
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Quantifying systemic risk
In: National Bureau of Economic Research conference report
In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively-or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-w.
Blessing in Disguise: Policy Uncertainty and Bank Systemic Risk
In: Emerging markets, finance and trade: EMFT, Band 58, Heft 15, S. 4271-4285
ISSN: 1558-0938
Blessing in Disguise: Policy Uncertainty and Bank Systemic Risk in China
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