Challenges in Identifying and Measuring Systemic Risk
AbstractSparked by the recent "great recession" and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this essay I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18505.
Date of creation: Nov 2012
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Publication status: published as Lars Peter Hansen. "Challenges in Identifying and Measuring Systemic Risk," in Markus K. Brunnermeier and Arvind Krishnamurthy, editors, "Risk Topography: Systemic Risk and Macro Modeling" University of Chicago Press (2013)
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Other versions of this item:
- Lars Peter Hansen, 2013. "Challenges in Identifying and Measuring Systemic Risk," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling National Bureau of Economic Research, Inc.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-11 (All new papers)
- NEP-BAN-2012-11-11 (Banking)
- NEP-MAC-2012-11-11 (Macroeconomics)
- NEP-RMG-2012-11-11 (Risk Management)
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