Internal Credit Risk Models

Internal Credit Risk Models

Systemic Risk (2nd edition)

Both the risk management profession and the financial supervisory and regulatory framework are undergoing deep structural changes brought on by the global financial crisis of 2008. Nowadays, market analysts, regulators and supervisors face the challenge of evaluating the risk profile of financial institutions in a systemic context.

Systemic Risk Assessment and Oversight presents these tools and meth­ods within the context of a bottom-up portfolio approach to systemic risk. While several of the methods and tools explored in the first half of the book can be used independently, the portfolio approach offers a unified framework to understand how risk flows from individual institutions to the system. Within this framework, it becomes easier to understand the scope of the tools and methods, as well as their limitations.

£145.00
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ISBN
9781782724155
 

Both the risk management profession and the financial supervisory and regulatory framework are undergoing deep structural changes brought on by the global financial crisis of 2008. Nowadays, market analysts, regulators and supervisors face the challenge of evaluating the risk profile of financial institutions in a systemic context.

Systemic Risk Assessment and Oversight presents these tools and meth­ods within the context of a bottom-up portfolio approach to systemic risk. While several of the methods and tools explored in the first half of the book can be used independently, the portfolio approach offers a unified framework to understand how risk flows from individual institutions to the system. Within this framework, it becomes easier to understand the scope of the tools and methods, as well as their limitations.

This second edition presents the material in five different sec­tions:

  1. An overview of systemic risk that emphasises an operational definition useful for guiding the development of quantitative tools.
  2. Develops and explains tools use­ful for evaluating the stand-alone default risk of financial institu­tions, as well as of non-financial corporations and, in certain in-stances, sovereigns.
  3. The third section builds upon the above to construct system­ic risk measures and methods to assess how default risk can spill over across institutions.
  4. Discusses ad­vances in the analysis of financial networks.
  5. Regulation and macroprudential policy.
More Information
ISBN 9781782724155
Navision code MCHA
Publication date 26/11/19
Size 155mm x 235mm
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Jorge A. Chan-Lau

Jorge A. Chan-Lau holds Ph.D. and M.Phil. degrees in Finance and Economics from the Graduate School of Business, Columbia University; and a B.S. degree in Civil Engineering, summa cum laude, from Pontificia Universidad Católica del Perú. His research and applied work covers the areas of capital markets, risk management, financial regulation, and asset allocation, and has been published widely in books and professional journals including the Journal of Fixed Income, the Journal of Investing, IMF Staff Papers, and Financial Markets, Institutions, and Instruments. Jorge is a Senior Fellow at the Center for Emerging Market Enterprises at the Fletcher School, Tufts University; a member of the Risk Who’s Who Society; an associate editor in two applied finance journals; and has served as an advisor on systemic risk at the Bank of Canada, the Central Bank of Chile; and Bank Negara Malaysia. He has worked at the Research and Capital Markets Departments at the International Monetary Fund; and the Structured Products Department at the International Finance Corporation, the World Bank Group, where he managed MATCH, a pilot frontier markets local currency loan portfolio for which he designed and implemented the pricing and economic capital allocation models. He has also held positions at Universidad de los Andes, Colombia; and the Earthquake Engineering Laboratory at Pontificia Universidad Católica del Perú.

About the Author ix
Preface xi
Acknowledgements xv


Part I Systemic risk: why it matters to market and policy practitioners 1
1 Why Systemic Risk Oversight Matters 3
2 The Bottom-up Approach to Systemic Risk 21


Part II Measuring the risk of individual institutions 
3 Fundamental Information and Firm-level Risk 
4 Extracting Risk Measures from Credit Derivatives and Bonds 
5 Equity-implied Methods and Risk-neutrality Transformations 


Part III From institution-specific risk to systemic risk 
6 Systemic Risk Measurement: Statistical Methods 
7 CoRisk: Quantile Regressions in Practice 
8 Balance-sheet Network Analysis 
9 The Portfolio-based Approach to Systemic Risk 


Part IV Other advanced analytical methods 
10 Advances in Modelling Systemic Risk in Financial Networks 
11 Agent-based Models of the Financial System 


Part V Regulatory issues 
12 The Regulation of Systemic Risk 
13 The Effectiveness of Macroprudential Policy 


Epilogue 
References 
Abbreviations