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) »
- Financial Networks (.html) »
- Fragile Networks:
- Identifying Vulnerabilities and Synergies in an Uncertain World
- from Sujit Kapadia, Bank of England
- from Anna Nagurney, University of Massachusetts Amherst
- from Mila Sherman Getmansky, University of Massachusetts Amherst
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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
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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
from Perry Mehrling, Barnard College, Columbia University