現代金融システムにみるシステミック・リスク Systemic Risk : The Dynamics of Modern Financial Systems

Gai, Prasanna

Oxford University Press（2013/03発売）

• 製本 Hardcover:ハードカバー版／ページ数 148 p.
• 言語 ENG
• 商品コード 9780199544493
• DDC分類 332.1

基本説明

This book applies some of the lessons from network disciplines - such as ecology, epidemiology, and engineering - to study and measure how small probability events can lead to contagion and banking crises on a global scale.

Full Description

This book opens new ground in the study of financial crises. It treats the financial system as a complex adaptive system and shows how lessons from network disciplines - such as ecology, epidemiology, and statistical mechanics - shed light on our understanding of financial stability. Using tools from network theory and economics, it suggests that financial systems are robust-yet-fragile, with knife-edge properties that are greatly exacerbated by the hoarding of funds and the fire sale of assets by banks. The book studies the damaging network consequences of the failure of large inter-connected institutions, explains how key funding markets can seize up across the entire financial system, and shows how the pursuit of secured finance by banks in the wake of the global financial crisis can generate systemic risks. The insights are then used to model banking systems calibrated to data to illustrate how financial sector regulators are beginning to quantify financial system stress.

Contents

Foreword ; Preface ; 1. Introduction ; 2. The Robust-yet-fragile nature of Financial Systems ; 3. Systemic Liquidity Crises ; 4. Dynamic Credit Relationships ; 5. Covered Bonds and Systemic Risk ; 6. Quantifying Systemic Risk ; 7. Financial System Resilience ; 8. Conclusion