Systemic risk tomography : signals, measurement and transmission channels / edited by Monica Billio, Loriana Pelizzon, Roberto Savona.

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text

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computer

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online resource

ISBN:

0081011768
9780081011768

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Electronic books.

Additional physical formats: Print version:: SYSTEMIC RISK TOMOGRAPHY.LOC classification:

HG106 .S97 2017eb

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Click here to access online

Contents:

Systemic risk via dynamic correlations / Petros Dellaportas, Anastasios Plataniotis and Michalis K. Titsias -- Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect / Monica Billio, Michele Costola, Roberto Panzica and Loriana Pelizzon -- Are critical slowing down indicators useful to detect financial crises? / Hayette Gatfaoui, Isabelle Nagot and Philippe de Peretti -- Onset of financial instability studied via agent-based models / Yi-Fang Liu, Jørgen Vitting-Andersen and Philippe de Peretti -- Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads / Rutger-Jan Lange, André Lucas and Arjen Siegmann -- Model-based business cycle and financial cycle decomposition for Europe and the United States / Siem Jan Koopman, Rutger Lit and André Lucas -- Danger Zones for the financial system / Paolo Manasse, Roberto Savona and Marika Vezzoli -- Risk monitoring systems in real-time based on dynamic factor models / Marcella Lucchetta -- Policy lessons from systemic risk modeling and measurement / Arjen Siegmann.

Summary: In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers' crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk. These events inspired the SYRTO project to "think and rethink" the economic and financial system and to conceive it as an "ensemble" of Sovereigns and Banks with other Financial Intermediaries and Corporations. This book proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention.

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In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers' crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk. These events inspired the SYRTO project to "think and rethink" the economic and financial system and to conceive it as an "ensemble" of Sovereigns and Banks with other Financial Intermediaries and Corporations. This book proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention.

Includes bibliographical references and index.

Description based on print version record.

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