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Asset Allocation And Asset Pricing In The Face Of Systemic Risk: A Literature Overview And Assessment

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  • CHRISTOPH MEINERDING

    (Faculty of Economics and Business Administration, Johann Wolfgang Goethe-University Frankfurt am Main, P.O. Box 111932 (Uni-Pf. H25), 60323 Frankfurt am Main, Germany)

Abstract

This paper provides a detailed overview of the current research linking systemic risk, financial crises and contagion effects among assets on the one hand with asset allocation and asset pricing theory on the other hand. Based on the ample literature about definitions, measurement and properties of systemic risk, we derive some elementary ingredients for models of financial contagion and assess the current state of knowledge about asset allocation and asset pricing with explicit focus on systemic risk. The paper closes with a brief outlook on future research possibilities and some recommendations for the further development of capital market models incorporating financial contagion.

Suggested Citation

  • Christoph Meinerding, 2012. "Asset Allocation And Asset Pricing In The Face Of Systemic Risk: A Literature Overview And Assessment," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-27.
    • Handle: RePEc:wsi:ijtafx:v:15:y:2012:i:03:n:s0219024912500239
    DOI: 10.1142/S0219024912500239
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    References listed on IDEAS

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    1. Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010. "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers 15733, National Bureau of Economic Research, Inc.
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    9. Nicole Branger & Holger Kraft & Christoph Meinerding, 2016. "The Dynamics of Crises and the Equity Premium," Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 232-270.
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    Cited by:

    1. Konstantinos Spiliopoulos & Jia Yang, 2018. "Network effects in default clustering for large systems," Papers 1812.07645, arXiv.org, revised Feb 2020.
    2. Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org, revised Feb 2015.

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