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"Systemic Risk, Crises, and Macroprudential Regulation"$
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Xavier Freixas, José-Luis Peydró, and Luc Laeven

Print publication date: 2015

Print ISBN-13: 9780262028691

Published to MIT Press Scholarship Online: September 2016

DOI: 10.7551/mitpress/9780262028691.001.0001

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Measuring Systemic Risk

Measuring Systemic Risk

Chapter:
(p.163) 7 Measuring Systemic Risk
Source:
"Systemic Risk, Crises, and Macroprudential Regulation"
Author(s):

Xavier Freixas

Luc Laeven

José-Luis Peydró

Publisher:
The MIT Press
DOI:10.7551/mitpress/9780262028691.003.0007

This chapter gives an overview of existing methods to measure systemic risk. The objective of this chapter is to provide guidance on how one should measure systemic risk in practice, including in environments with data limitations such as emerging markets and the non-regulated financial system. The chapter discusses methods to develop real time early warning signals to measure excessive credit and other aggregate financial imbalances. It also provides measures based on balance sheet data and on market data, both to analyze contagion risks and macro imbalances, including network analysis. Finally, the chapter summarizes how different measures of financial imbalances that are commonly used in policy and academic circles have performed in many financial crises over the twentieth century.

Keywords:   Systemic risk, Measurement, Statistical methods, Network analysis, Early warning systems

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