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by Markus Brunnermeier,Arvind Krishnamurthy
Download Risk Topography: Systemic Risk and Macro Modeling (National Bureau of Economic Research Conference Report) fb2
Business & Finance
  • Author:
    Markus Brunnermeier,Arvind Krishnamurthy
  • ISBN:
    022607773X
  • ISBN13:
    978-0226077734
  • Genre:
  • Publisher:
    University of Chicago Press (August 14, 2014)
  • Pages:
    288 pages
  • Subcategory:
    Business & Finance
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Risk Topography: Systemic Risk and Macro Modeling.

Risk Topography: Systemic Risk and Macro Modeling. NBER Program(s):AP, EFG, ME. More information on purchasing this book 273 pages ISBN: 0-226-07773-X. Contact Us. Working Papers & Publications.

Hardcover: 288 pages. Publisher: University of Chicago Press (August 14, 2014).

Tracing Money Flows through the United States Economy.

An SPDE Model for Systemic Risk with Endogenous Contagion. We propose a dynamic model for the stability of a large financial network, which we formulate as a system of interacting diffusions on the positive half-line with an absorbing boundary at zero. These diffusions represent the of the financial institutions in the network. As a way of modelling correlated exposures and herd behaviour, we consider a common source of noise and a form of mean-reversion in the drift. Tracing Money Flows through the United States Economy.

Brunnermeier, Markus Konrad and Gorton, Gary B. and Krishnamurthy, Arvind, Risk Topography (May 31, 2011).

Arvind Krishnamurthy. Northwestern University - Kellogg School of Management. Brunnermeier, Markus Konrad and Gorton, Gary B.

Markus Brunnermeier & Arvind Krishnamurthy, 2014. Handle: RePEc:nbr:nberbk:brun11-1 Note: AP EFG ME. as.

1. Challenges in Identifying and Measuring Systemic Risk Lars Peter Hansen.

00 ISBN: 9780226077734 Published August 2014. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. 1.

Systemic risk is inherently endogenous. This key point is often obscured (or absent) in policy discussions. To diagnose systemic risk, the data on shock-deltas must be viewed through the lens of a model. That is, it is not enough to measure the losses that may arise from a 20% fall in real estate prices. The important step for systemic risk assessment is to compute the general equilibrium response of the economy to such a shock.

Markus Brunnermeier and Arvind Krishnamurthy have assembled . oceedings{TS, title {Risk Topography: Systemic Risk and Macro Modeling}, author {Markus K. Brunnermeier and Arvind Krishnamurthy}, year {2014} }.

Essays focus on the development of models capable of highlighting the vulnerabilities that have never been systematically measured before. By Markus Brunnermeier and Arvind Krishnamurthy (eds). The University of Chicago Press, 2014, ISBN 978-0-226-07773-4, 273 pages.

Working Paper No. 3745 The model represents the systemic interactions through five contagion channels. 3745.

The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.