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Measuring Systemic Risk

In: Macroprudential Regulatory Policies The New Road to Financial Stability?

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  • Viral V. Acharya

    (New York University Stern School of Business, USA)

Abstract

I am going to talk about measuring systemic risk, based on my joint paper, “Measuring Systemic Risk,” with Lasse Pederson, Thomas Philippon, and Matt Richardson, who are all my colleagues at NYU Stern.The way bank regulations have been thought and implemented so far has invariably focused only on the risk of individual banks. So if we consider the supervision of an individual bank, we go in, we see what the bank has, we supervise, and check if everything is okay. As long as the bank is reasonably safe, you do nothing. Or consider Basel capital requirements: You look at the assets of the bank, figure out how many mortgages, how many corporate loans, what's on the trading book, apply some weights, or put some risk model in place. Then, calculate and impose a capital requirement and that's the end of the story…

Suggested Citation

  • Viral V. Acharya, 2011. "Measuring Systemic Risk," World Scientific Book Chapters, in: Stijn Claessens & Douglas D Evanoff & George G Kaufman & Laura E Kodres (ed.), Macroprudential Regulatory Policies The New Road to Financial Stability?, chapter 10, pages 133-143, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814360678_0010
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    More about this item

    Keywords

    Macroprudential Regulation; Financial Regulation; Systemic Risk; Dodd-Frank; International Banking; Financial Crisis; Financial Stability; Bank Capital; Microprudential Regulation; Policy Tools; Cross-Border; Countercyclical Policy; Governance; Failure Resolution; Globalization; Basel III; Contingent Capital; Stress Tests;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G01 - Financial Economics - - General - - - Financial Crises

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