How to Calculate Systemic Risk Surcharges
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Chapter in NBER book Quantifying Systemic Risk (2013), Joseph G. Haubrich and Andrew W. Lo, editors (p. 175 - 212)
---- Acknowledgments ----
---- Disclosure of Financial Relationships for Lasse H. Pedersen ----
Lasse H. Pedersen is at the NYU Stern School of Business, NBER, CEPR, and AQR Capital Management, and serves on the New York Fed’s Monetary Policy Panel.
---- Disclosure of Financial Relationships for Thomas Philippon ----
Thomas Philippon is at the NYU Stern School of Business, NBER, and CEPR.