Systemic Risk Assessment and Oversight (2nd edition)
Discipline: Quantitative Analysis, Regulation
Both the risk management profession and the financial supervisory and regulatory framework are undergoing deep structural changes brought on by the global financial crisis of 2008. Nowadays, market analysts, regulators and supervisors face the challenge of evaluating the risk profile of financial institutions in a systemic context.
Systemic Risk Assessment and Oversight presents these tools and methods within the context of a bottom-up portfolio approach to systemic risk. While several of the methods and tools explored in the first half of the book can be used independently, the portfolio approach offers a unified framework to understand how risk flows from individual institutions to the system. Within this framework, it becomes easier to understand the scope of the tools and methods, as well as their limitations.