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Handbook on Systemic Risk

$160.00

Jean-Pierre Fouque, Joseph A. Langsam, H. V. Jagadish, Edward T. Hida II, Roger M. Stein, Andrew Jacobs, Marc Gratacos, Arnon Rosenthal, Len Seligman, M. Atkin, M. Bennet, John Liechty, Carole Bernard, Eike Christian Brechmann, Claudia Czado, John Liechty, Viral V. Acharya, Christian Brownlees, Robert Engle, Farhang Farazmand, Matthew Richardson, Lasse Pedersen, Thomas Philippon, Sascha Steffen, Rama Cont, Helmut Elsinger, Alfred Lehar, Martin Summer, Ethan Cohen-Cole, Andrei Kirilenko, Eleonora Patacchini, Amal Moussa, Edson B. Santos, Ronnie Sircar, L. C. G. Rogers, P. Zaczkowski, Matheus R. Grasselli, Omneia R. H. Ismail, Josselin Garnier, George Papanicolaou, Tzu-Wei Yang, Li-Hsien Sun, Youngna Choi, Raphael Douady, Kay Giesecke, Agostino Capponi, Jeremy Staum, Alexander Schied, Charles-Albert Lehalle, Jim Gatheral, Hersh Shefrin, Andrew Lo, Wei Xiong, Giovanni Barone-Adesi, Loriano Mancini, Gary Stern, Ron J. Feldman, Carsten Detken, Per Nymand-Andersen, Ilja Kristian Kavonius, Mikhail V. Oet, Ryan Eiben, Timothy Bianco, Dieter Gramlich, Stephen J. Ong, Jing Wang, Richard Byrne, Eric Hughes, Arnie Rosenthal, Charles Worrell, Samar Guharay, Matt McMahon, Rajani Shenoy, Alan J. King, Donna N. Dillenberger, Aviv Orani, Francis N. Parr, Gong Su, Trevor S. Harris, Robert Herz, Doron Nissim
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  • Date Published: July 2013
  • availability: In stock
  • format: Hardback
  • isbn: 9781107023437

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About the Authors
    • Readily accessible to researchers, regulators and financial market risk managers
    • Authors comprise experts in finance, economics, mathematics, statistics, financial market regulation, accounting, data management and computer science
    • Encourages greater interaction between multiple academic disciplines
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    Product details

    • Date Published: July 2013
    • format: Hardback
    • isbn: 9781107023437
    • length: 992 pages
    • dimensions: 254 x 178 x 41 mm
    • weight: 1.86kg
    • contains: 25 b/w illus. 140 colour illus. 75 tables
    • availability: In stock
  • Table of Contents

    Introduction
    Contributors
    Part I. Data: The Prerequisite for Managing Systemic Risk:
    1. Systemic risk information requirements: current environment, needs, and approaches for development
    2. Aligning models and data for systemic risk analysis
    3. Applying FpML
    4. Data integration for systemic risk in the financial system
    5. Semantics in systemic risk management
    Part II. Statistics and Systemic Risk:
    6. Statistical assessments of systemic risk measures
    7. Regime switching models and risk measurement tools
    Part III. Measuring and Regulating Systemic Risk:
    8. Measuring systemic risk
    9. Taxing systemic risk
    10. Analyzing systemic risk of the European banking sector
    Part IV. Networks:
    11. Network models and systemic risk assessment
    12. Strategic interactions on financial networks for the analysis of systemic risk
    13. Network structure and systemic risk in banking systems
    Part V. Systemic Risk and Mathematical Finance:
    14. Firms, banks and households
    15. An agent-based computational model for bank formation and interbank networks
    16. Diversification in financial networks may increase systemic risk
    17. Systemic risk illustrated
    18. Financial crisis and contagion: a dynamical systems approach
    Part VI. Counterparty Risk and Systemic Risk:
    19. Pricing and mitigation of counterparty credit exposures
    20. Counterparty contagion in context: contributions to systemic risk
    Part VII. Algorithmic Trading:
    21. Market microstructure knowledge needed for controlling an intra-day trading process
    22. Dynamical models of market impact and algorithms for order execution
    Part VIII. Behavioral Finance: The Psychological Dimension of Systemic Risk:
    23. Fear, greed, and financial crises: a cognitive neurosciences perspective
    24. Bubbles, crises, and heterogeneous beliefs
    25. Systemic risk and sentiment
    Part IX. Regulation:
    26. The new financial stability framework in Europe
    27. Sector-level financial networks and macroprudential risk analysis in the Euro area
    28. Systemic risk early warning system: a micro-macro prudential synthesis
    Part X. Computational Issues and Requirements:
    29. Enabling data analysis for addressing systemic risk
    30. Operational considerations in an analytic environment for systemic risk
    31. Requirements for systemic risk management in the financial sector
    Part XI. Accounting Issues:
    32. Accounting's role in the reporting, creation, and avoidance of systemic risk in financial institutions.

  • Editors

    Jean-Pierre Fouque, University of California, Santa Barbara
    Jean-Pierre Fouque is Professor and Director of the Center for Research in Financial Mathematics and Statistics at the University of California, Santa Barbara.

    Joseph A. Langsam, University of Maryland, College Park
    Joseph A. Langsam spent twenty-five years at Morgan Stanley, where he collaborated with academic experts in mathematics and finance to develop and promote the derivative valuation and risk management models that are necessary for modern finance. Langsam is now CFP Policy Fellow in the Robert H. Smith School of Business at the University of Maryland, College Park.

    Contributors

    Jean-Pierre Fouque, Joseph A. Langsam, H. V. Jagadish, Edward T. Hida II, Roger M. Stein, Andrew Jacobs, Marc Gratacos, Arnon Rosenthal, Len Seligman, M. Atkin, M. Bennet, John Liechty, Carole Bernard, Eike Christian Brechmann, Claudia Czado, John Liechty, Viral V. Acharya, Christian Brownlees, Robert Engle, Farhang Farazmand, Matthew Richardson, Lasse Pedersen, Thomas Philippon, Sascha Steffen, Rama Cont, Helmut Elsinger, Alfred Lehar, Martin Summer, Ethan Cohen-Cole, Andrei Kirilenko, Eleonora Patacchini, Amal Moussa, Edson B. Santos, Ronnie Sircar, L. C. G. Rogers, P. Zaczkowski, Matheus R. Grasselli, Omneia R. H. Ismail, Josselin Garnier, George Papanicolaou, Tzu-Wei Yang, Li-Hsien Sun, Youngna Choi, Raphael Douady, Kay Giesecke, Agostino Capponi, Jeremy Staum, Alexander Schied, Charles-Albert Lehalle, Jim Gatheral, Hersh Shefrin, Andrew Lo, Wei Xiong, Giovanni Barone-Adesi, Loriano Mancini, Gary Stern, Ron J. Feldman, Carsten Detken, Per Nymand-Andersen, Ilja Kristian Kavonius, Mikhail V. Oet, Ryan Eiben, Timothy Bianco, Dieter Gramlich, Stephen J. Ong, Jing Wang, Richard Byrne, Eric Hughes, Arnie Rosenthal, Charles Worrell, Samar Guharay, Matt McMahon, Rajani Shenoy, Alan J. King, Donna N. Dillenberger, Aviv Orani, Francis N. Parr, Gong Su, Trevor S. Harris, Robert Herz, Doron Nissim

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