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Systemic Contingent Claims Analysis :, Estimating Market-Implied Systemic Risk, Andreas Jobst, Dale Gray

Abstract
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress
Table Of Contents
Cover; Contents; I. Introduction; Tables; 1. General Systemic Risk Measurement Approaches; 2. Selected Institution-Level Systemic Risk Models; II. Methodology; 3. Main Features of the Systemic CCA Model; 4. Traditional Accounting Bank Balance Sheet; 5. Risk-adjusted (CCA) Bank Balance Sheet; Boxes; 1. Extension of BSM Model Using the Gram-Charlier (GC) Specification or Jump Diffusion; Figures; 1. The Location of Expected Shortfall (ES) in a Stylized Loss Distribution; III. Extensions of the Systemic CCA Framework; 2. Valuation Linkages between the Sovereign and Banking Sector
Language
eng
Literary Form
non fiction
Note
February 2013
Physical Description
1 online resource (94 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781299395206

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