NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Challenges in Identifying and Measuring Systemic Risk

Lars Peter Hansen

NBER Working Paper No. 18505
Issued in November 2012, Revised in December 2012
NBER Program(s):   CF

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 essay 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.

download in pdf format
   (200 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w18505

Published: Challenges in Identifying and Measuring Systemic Risk, Lars Peter Hansen. in Risk Topography: Systemic Risk and Macro Modeling, Brunnermeier and Krishnamurthy. 2014

Users who downloaded this paper also downloaded* these:
Adrian and Brunnermeier w17454 CoVaR
Billio, Getmansky, Lo, and Pelizzon w16223 Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
Hovakimian, Kane, and Laeven w18043 Tracking Variation in Systemic Risk at US Banks During 1974-2013
Brunnermeier and Oehmke w18398 Bubbles, Financial Crises, and Systemic Risk
De Nicolo and Lucchetta w16998 Systemic Risks and the Macroeconomy
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

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

Contact Us