NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Challenges in Identifying and Measuring Systemic Risk

Lars Peter Hansen

Chapter in NBER book Risk Topography: Systemic Risk and Macro Modeling (2014), Markus K. Brunnermeier and Arvind Krishnamurthy, editors (p. 15 - 30)
Conference held April 28, 2011
Published in August 2014 by University of Chicago Press
© 2014 by the National Bureau of Economic Research

Sparked by the recent "great recession" and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this chapter, I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy. In addition, I explore some conceptual modeling and measurement challenges, and examine these challenges as they relate to existing approaches to measuring systemic risk.

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This paper was revised on May 23, 2013

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This chapter first appeared as NBER working paper w18505, Challenges in Identifying and Measuring Systemic Risk, Lars Peter Hansen
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