Jump to ContentJump to Main Navigation
Quantifying Systemic Risk
Users without a subscription are not able to see the full content.

Quantifying Systemic Risk

Joseph G. Haubrich and Andrew W. Lo


In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—and whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. This book addresses the challenges of measuring statistical risk from a system-wide perspective. It looks at the means of m ... More

Keywords: financial crisis, federal government, regulatory reforms, systemic risk, trade-offs, social welfare, statistical risk, quantitative measures, reward, policy

Bibliographic Information

Print publication date: 2013 Print ISBN-13: 9780226319285
Published to Chicago Scholarship Online: September 2013 DOI:10.7208/chicago/9780226921969.001.0001


Affiliations are at time of print publication.

Joseph G. Haubrich, editor

Andrew W. Lo, editor

subscribe or login to access all content.

Subscriber Login

Forgotten your password?




Joseph G. HaubrichAndrew W. Lo

1 Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks

Sujit Kapadia Mathias Drehmann John Elliott Gabriel Sterne

2 Endogenous and Systemic Risk

Jon Danielsson Hyun Song Shin Jean-Pierre Zigrand

3 Systemic Risks and the Macroeconomy

Gianni De NicolòMarcella Lucchetta

4 Hedge Fund Tail Risk

Tobias Adrian Markus K. Brunnermeier Hoai-Luu Q. Nguyen

5 How to Calculate Systemic Risk Surcharges

Viral V. Acharya Lasse H. Pedersen Thomas Philippon Matthew Richardson