Measuring Systemic Risk

Recommended Readings

Panelists participating in the Measuring Systemic Risk conference provided the following articles and research related to systemic risk.

Network Analysis

  • Contagion in Financial Networks
  • Systemic Risk: The Dynamics of Model Banking Systems
  • Rethinking the Financial Network (.pdf) »
    • from Sujit Kapadia, Bank of England
  • Financial Networks (.html) »
  • Fragile Networks:
      Identifying Vulnerabilities and Synergies in an Uncertain World (.html) »
  • Identification of Critical Nodes and Links in Financial Networks with Intermediation and Electronic Transactions (.pdf) »
      from Anna Nagurney, University of Massachusetts Amherst
  • Econometric Measures Of Systemic Risk in the Financie and Insurance Sectors
      from Mila Sherman Getmansky, University of Massachusetts Amherst
  • Financial Networks and Financial Stability (.pdf) »
      from Kimmo Soramaki, Financial Network Analytics

Sovereign Risk

  • Lessons from the Financial Crisis on Modelling Systemic and Sovereign Risk
  • Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk
      from Dale Gray, International Monetary Fund
  • Crises in Repo Markets with Adverse Selection (.pdf) »
  • How Far Are We From The Slippery Slope? The Laffer Curve Revisited (.pdf) »
  • A Model of a Systemic Bank Run (html) »
  • One Money, but Many Fiscal Policies in Europe: What are the Consequences
    • from Harald Uhlig, University of Chicago

The Housing Sector

  • Household Leverage and the Recession of 2007–09 (.pdf) »
  • Household Debt and the Weak U.S. Economic Recovery (.pdf) »
      from Amir Sufi, University of Chicago

The Shadow Banking System

  • Introduction to The New Lombard Street:
      How the Fed Became the Dealer of Last Resort (.pdf) »
      from Perry Mehrling, Barnard College, Columbia University