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The Administration’s plan for financial regulatory reform would grant the Federal
Reserve significant new powers—more powers than ever before in American history. The
Federal Reserve would have the ...
The ongoing financial crisis has given a new urgency to this question. Government
officials are now proposing legislation to expand significantly the role of government in the
financial sector and b...
The more restrictive the definition and the more credibly
it is adhered to by policy makers, the fewer bailouts we
would see. Recognizing that bailouts are unavailable except
in the most unlikely c...
Systemic Risk and the Refinancing Ratchet Effect
Equity Mortgages Interest Rates Price Housing Risk and Uncertainty United States
2015/4/22
The confluence of three trends in the U.S. residential housing market-rising home prices, declining interest rates, and near-frictionless refinancing opportunities-led to vastly increased systemic ris...
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 deb...
On dependence consistency of CoVaR and some other systemic risk;measures
dependence consistency of CoVaR some other systemic risk measures
2012/9/14
This paper is dedicated to the consistency of systemic risk mea-sures with respect to stochastic dependence. It compares two alter-native notions of Conditional Value-at-Risk (CoVaR) available in the ...
Large deviations for a mean field model of systemic risk
mean field large deviations systemic risk dynamic phase transitions
2012/4/28
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three param...
DEBT AND SYSTEMIC RISK: THE CONTRIBUTION OF FISCAL AND MONETARY POLICY
fiscal and monetary policy inherent risk real estate market
2011/8/21
This article discusses the contribution of fiscal and monetary policy to the accumulation of excessive debt and its inherent risk. According to economists Carmen Reinhart and Ken Rogoff, excessive deb...
Systemic Risk in a Unifying Framework for Cascading Processes on Networks
Systemic Risk Unifying Framework Networks
2010/11/1
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as ...
Networks of Economic Market Interdependence and Systemic Risk
Economic Market Systemic Risk
2010/12/13
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations....