NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Challenges in Identifying and Measuring Systemic Risk

Lars Peter Hansen


This chapter is a preliminary draft unless otherwise noted. It may not have been subjected to the formal review process of the NBER. This page will be updated as the chapter is revised.

Chapter in forthcoming NBER book Risk Topography: Systemic Risk and Macro Modeling, Markus K. Brunnermeier and Arvind Krishnamurthy, editors
Conference held April 28, 2011
Forthcoming from University of Chicago Press

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.

download in pdf format
   (189 K)

email paper

This paper is available as PDF (189 K) or via email.

This paper was revised on May 23, 2013

Acknowledgments

Machine-readable bibliographic record - MARC, RIS, BibTeX

This chapter first appeared as NBER working paper w18505, Challenges in Identifying and Measuring Systemic Risk, Lars Peter Hansen
Users who downloaded this chapter also downloaded these:
Hansen w18505 Challenges in Identifying and Measuring Systemic Risk
Brunnermeier, Krishnamurthy, and Gorton Liquidity Mismatch Measurement
Brunnermeier and Krishnamurthy Introduction to "Risk Topography: Systemic Risk and Macro Modeling"
Geanakoplos and Pedersen Monitoring Leverage
Duffey w17022 The Quantification of Systemic Risk and Stability: New Methods and Measures
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us