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Measuring Systemic Risk - A Probabilistic Perspective (Hardcover, 1st ed. 2022)
Loot Price: R3,845
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Measuring Systemic Risk - A Probabilistic Perspective (Hardcover, 1st ed. 2022)
Series: Studies in Systems, Decision and Control, 409
Expected to ship within 12 - 17 working days
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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.
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