Handbook on Systemic Risk

Jean-Pierre Fouque is Professor and Director of the Center for Research in Financial Mathematics and Statistics at the University of California, Santa Barbara. Joseph A. Langsam spent twenty-five years at Morgan Stanley, where he collaborated with academic experts in mathematics and finance to develop and promote the derivative valuation and risk management models that are necessary for modern finance. Langsam is now CFP Policy Fellow in the Robert H. Smith School of Business at the University of Maryland, College Park.

Introduction; Contributors; Part I. Data: The Prerequisite for Managing Systemic Risk: 1. Systemic risk information requirements: current environment, needs, and approaches for development; 2. Aligning models and data for systemic risk analysis; 3. Applying FpML; 4. Data integration for systemic risk in the financial system; 5. Semantics in systemic risk management; Part II. Statistics and Systemic Risk: 6. Statistical assessments of systemic risk measures; 7. Regime switching models and risk measurement tools; Part III. Measuring and Regulating Systemic Risk: 8. Measuring systemic risk; 9. Taxing systemic risk; 10. Analyzing systemic risk of the European banking sector; Part IV. Networks: 11. Network models and systemic risk assessment; 12. Strategic interactions on financial networks for the analysis of systemic risk; 13. Network structure and systemic risk in banking systems; Part V. Systemic Risk and Mathematical Finance: 14. Firms, banks and households; 15. An agent-based computational model for bank formation and interbank networks; 16. Diversification in financial networks may increase systemic risk; 17. Systemic risk illustrated; 18. Financial crisis and contagion: a dynamical systems approach; Part VI. Counterparty Risk and Systemic Risk: 19. Pricing and mitigation of counterparty credit exposures; 20. Counterparty contagion in context: contributions to systemic risk; Part VII. Algorithmic Trading: 21. Market microstructure knowledge needed for controlling an intra-day trading process; 22. Dynamical models of market impact and algorithms for order execution; Part VIII. Behavioral Finance: The Psychological Dimension of Systemic Risk: 23. Fear, greed, and financial crises: a cognitive neurosciences perspective; 24. Bubbles, crises, and heterogeneous beliefs; 25. Systemic risk and sentiment; Part IX. Regulation: 26. The new financial stability framework in Europe; 27. Sector-level financial networks and macroprudential risk analysis in the Euro area; 28. Systemic risk early warning system: a micro-macro prudential synthesis; Part X. Computational Issues and Requirements: 29. Enabling data analysis for addressing systemic risk; 30. Operational considerations in an analytic environment for systemic risk; 31. Requirements for systemic risk management in the financial sector; Part XI. Accounting Issues: 32. Accounting's role in the reporting, creation, and avoidance of systemic risk in financial institutions.