Systemic Risk Tomography: Signals, Measurement and Transmission Channels

Systemic Risk Tomography: Signals, Measurement and Transmission Channels recent developments in the measurement of systemic risk, mainly focusing on the Eurozone and providing a comprehensive risk analysis that covers sovereign risk, bank and other financial intermediaries risk, and corporate risk. The book also deals with possible Early Warning Systems based on a risk dashboard that proposes to identify potential vulnerabilities within the financial system. The comprehensive risk analysis detailed in this book is intended to aggregate the individual risk dimensions by using advanced methodologies, such as Dynamic Conditional Correlations, Copula functions and Copula-based models, Regime-switching models, and Network analysis. Explores the economic and financial system of Sovereigns, Banks, other Financial Intermediaries, and CorporationsPresents the financial system as a biological entity to be explored in order to identify the main risk signals and provide the right measures of prevention and interventionsOffers a new, systemic-based approach to construct a hierarchical, internally coherent framework to be used in developing an effective early warning system INDICE: I. RISK CONNECTIONS AND SYSTEMIC RISK INDICATORS 1. Two-Way Risk Connections a. Dependencies Among Sovereign, Financial and Corporate Risks b. Connecting Risks within Financial System 2. Multi-Way Risk Connections a. Interconnectedness in Financial Markets b. Network Modelling 3. Financial Markets and Excessive Risk Taking a. Agent Based Modeling and Experimental Economics b. Bubbles, Antibubbles and Breaks in Financial Symmetry II. AN EARLY WARNING SYSTEM FOR SYSTEMIC RISK(S) 1. Systemic Risk Signaling Using Scores 2. Detecting Danger Zones within Financial System 3. Risk Monitoring Systems in Real Time based on Dynamic Factor Models

• ISBN: 978-1-78548-085-0
• Editorial: ISTE Press - Elsevier
• Encuadernacion: Cartoné
• Páginas: 200
• Fecha Publicación: 01/01/2017
• Nº Volúmenes: 1
• Idioma: Inglés