Risk Topography : Systemic Risk and Macro Modeling / Markus Brunnermeier, Arvind Krishnamurthy.

Format:

Book

Contributor:

Brunnermeier, Markus, Editor.

Krishnamurthy, Arvind, Editor.

Series:

National Bureau of Economic Research conference report.

National Bureau of Economic Research Conference Report

Language:

English

Subjects (All):

Risk--Congresses.

Risk.

Financial risk management--Congresses.

Financial risk management.

Macroeconomics--Econometric models--Congresses.

Macroeconomics.

Physical Description:

1 online resource (xi, 273 pages) : illustration

Place of Publication:

Chicago : University of Chicago Press, [2014]

Language Note:

English

Summary:

The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.

Contents:

Frontmatter

Contents

Acknowledgments

Introduction

1. Challenges in Identifying and Measuring Systemic Risk

2. Regulating Systemic Risk through Transparency: Trade- OVs in Making Data Public

3. Systemic Risk Exposures: A 10-by- 10-by- 10 Approach

4. Remapping the Flow of Funds

5. Measuring Margin

6. A Transparency Standard for Derivatives

7. Liquidity Mismatch Measurement

8. Monitoring Leverage

9. Repo and Securities Lending

10. Improving Our Ability to Monitor Bank Lending

11. The Case for a Credit Registry

12. Monitoring the Financial Condition and Expenditures of Households

13. LEADS on Macroeconomic Risks to and from the Household Sector

14. Detecting "Bad" Leverage

15. A Macroeconomist's Wish List of Financial Data

16. Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?

Contributors

Author Index

Subject Index

Notes:

"Contains selection of the papers of two National Bureau of Economic Research (NBER) conferences on systemic risk measurement held in October 2010 in New York and in April 2011 in Chicago"--T.p. verso.

Includes bibliographical references at the end of each chapters and indexes.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 24. Apr 2020)

ISBN:

9780226092645

022609264X

OCLC:

884016317