NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Quantifying Systemic Risk

Joseph G. Haubrich and Andrew W. Lo, editors

Conference held November 6, 2009
Published in January 2013 by University of Chicago Press
© 2013 by the National Bureau of Economic Research

NBER Program(s):AP, EFG

More information on purchasing this book
273 pages
ISBN: 0-226-31928-8

Table of Contents

Introduction: Joseph G. Haubrich, Andrew W. Lo (p. 1 - 10) (bibliographic info) (download)
Systemic Risk and Financial Innovation: Toward a "Unified" Approach: Henry T. C. Hu (p. 11 - 28) (bibliographic info) (download)
1. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks: Sujit Kapadia, Matthias Drehmann, John Elliott, Gabriel Sterne (p. 29 - 61) (bibliographic info) (download)
       Comment: Mikhail V. Oet (p. 61 - 71) (bibliographic info) (download)
2. Endogenous and Systemic Risk: Jon Danielsson, Hyun Song Shin, Jean-Pierre Zigrand (p. 73 - 94) (bibliographic info) (download)
       Comment: Bruce Mizrach (p. 94 - 105) (bibliographic info) (download)
       Comment: Terence C. Burnham (p. 105 - 112) (bibliographic info) (download)
3. Systemic Risks and the Macroeconomy: Gianni De Nicolò, Marcella Lucchetta (p. 113 - 148) (bibliographic info) (download) (Working Paper version)
       Comment: Hao Zhou (p. 149 - 153) (bibliographic info) (download)
4. Hedge Fund Tail Risk: Tobias Adrian, Markus K. Brunnermeier, Hoai-Luu Q. Nguyen (p. 155 - 172) (bibliographic info) (download)
       Comment: Ben Craig (p. 173 - 174) (bibliographic info) (download)
5. How to Calculate Systemic Risk Surcharges: Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, Matthew Richardson (p. 175 - 212) (bibliographic info) (download)
       Comment: Mathias Drehmann (p. 212 - 221) (bibliographic info) (download)
6. The Quantification of Systemic Risk and Stability: New Methods and Measures: Romney B. Duffey (p. 223 - 262) (bibliographic info) (download) (Working Paper version)
       Comment: Joseph G. Haubrich (p. 262 - 263) (bibliographic info) (download)
 
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