Systemic Risk Assessment and Oversight (2nd edition)
First published:
ISBN: 9781782724155
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Abbreviations
Abbreviations
Preface
Why Systemic Risk Oversight Matters
The Bottom-up Approach to Systemic Risk
Fundamental Information and Firm-level Risk
Extracting Risk Measures from Credit Derivatives and Bonds
Equity-implied Methods and Risk-neutrality Transformations
Systemic Risk Measurement: Statistical Methods
CoRisk: Quantile Regressions in Practice
Balance-sheet Network Analysis
The Portfolio-based Approach to Systemic Risk
Advances in Modelling Systemic Risk in Financial Networks
Agent-based Models of the Financial System
The Regulation of Systemic Risk
The Effectiveness of Macroprudential Policy
Epilogue
References
Abbreviations
Test chapter
ABM – Agent-based model
AIG – American International Group
ASW – Asset swap
BIS – Bank for International Settlements
BVAR – Bayesian vector autoregression
CAP – Cumulative accuracy profile
CAPM – Capital asset pricing model
CAR – Capital adequacy ratio
CBOE – Chicago Board Options Exchange
CCAR – Comprehensive Capital Analysis Review
CCB – Countercyclical capital buffer
CCP – Central counterparty
CCR – Counterparty capital requirement
CDO – Collateralised debt obligation
CDS – Credit default swap
CDSF – Central de Deudores del Sistema Financiero
CFM – Capital flow management measures
CFTC – Commodities and Futures Trading Commission
CLNDY – Corrected Lanne-Nyberg Diebold-Yilmaz
CRE – Commercial real estate
CRISIS – Complexity Research Initiative for Systemic Instabilities
CVA – Credit valuation adjustment
D-SII – Domestic systemically important institution
DCC – Dynamic conditional correlation
DIP – Distressed insurance premium
DP – Dynamic provision
DSTI – Debt-service-to-income
DTI – Debt-to-income
DY – Diebold-Yilmaz
EBIT – Earnings before income and taxes
ECB – European Central Bank
EDF – Expected default frequency
ELA – Emergency liquidity assistance
ES – Expected shortfall
ES
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