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Measuring systemic risk : a probabilistic perspective / Deyan Radev.
Radev, Deyan, author.
2022
HD61
Available Online

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Title Measuring systemic risk : a probabilistic perspective / Deyan Radev.
Author Radev, Deyan, author.
ISBN 9783030942816 (electronic book)
3030942813 (electronic book)
9783030942809
3030942805
DOI https://doi.org/10.1007/978-3-030-94281-6
Imprint Cham, Switzerland : Springer, 2022.
Language English
Description 1 online resource (xii, 86 pages) : color illustrations
Other Standard Identifiers 10.1007/978-3-030-94281-6 doi
Call Number HD61
Dewey Decimal Classification 363.1
Summary This book provides a comprehensive methodology to measure systemic risk in many of its facets and dimensions based on state-of-the-art risk assessment methods. Systemic risk has gained attention in the public eye since the collapse of Lehman Brothers in 2008. The bankruptcy of the fourth-biggest bank in the USA raised questions whether banks that are allowed to become too big to fail and too systemic to fail should carry higher capital surcharges on their size and systemic importance. The Global Financial Crisis of 2008-2009 was followed by the Sovereign Debt Crisis in the euro area that saw the first Eurozone government de facto defaulting on its debt and prompted actions at international level to stem further domino and cascade effects to other Eurozone governments and banks. Against this backdrop, a careful measurement of systemic risk is of utmost importance for the new capital regulation to be successful and for sovereign risk to remain in check. Most importantly, the book introduces a number of systemic fragility indicators for banks and sovereigns that can help to assess systemic risk and the impact of macroprudential and microprudential policies.
Bibliography, etc. Note Includes bibliographical references.
Access Note Access limited to authorized users.
Digital File Characteristics text file PDF
Source of Description Online resource; title from PDF title page (SpringerLink, viewed February 23, 2022).
Description based on print version record.
Series Studies in systems, decision and control ; v. 409.
Available in Other Form Print version: 9783030942809
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Summary and Final Words.

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