In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers’ crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk.These events inspired the SYRTO project to “think and rethink the economic and financial system and to conceive it as an “ensemble of Sovereigns and Banks with other Financial Intermediaries and Corporations. Systemic Risk Tomography: Signals, Measurement and Transmission Channels proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention.
1. Introduction: Systemic Risk: Measures and Warnings - p. xi 2. Part 1: Risk Connections and Systemic Risk Indicators - p. xxi 3. 1: Systemic Risk via Dynamic Correlations - p. 3 4. 2: Systemic Risk and Financial Interconnectedness: Network Measures and the Impact of the Indirect Effect - p. 43 5. 3: Are Critical Slowing Down Indicators Useful to Detect Financial Crises? - p. 73 6. 4: Onset of Financial Instability Studied via Agent-based Models - p. 95 7. Part 2: Early Warning System for Systemic Risk(s) - p. 125 8. 5: Score-driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads - p. 129 9. 6: Model-based Business Cycle and Financial Cycle Decomposition for Europe and the United States - p. 151 10. 7: Danger Zones for the Financial System - p. 169 11. 8: Risk Monitoring Systems in Real-time Based on Dynamic Factor Models - p. 191 12. Part 3: Policy Implications - p. 235 13. 9: Policy Lessons from Systemic Risk Modeling and Measurement - p. 239 14. List of Authors - p. 275 15. Index - p. 277
In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers’ crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk.These events inspired the SYRTO project to “think and rethink the economic and financial system and to conceive it as an “ensemble of Sovereigns and Banks with other Financial Intermediaries and Corporations. Systemic Risk Tomography: Signals, Measurement and Transmission Channels proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention.
1. Introduction: Systemic Risk: Measures and Warnings - p. xi 2. Part 1: Risk Connections and Systemic Risk Indicators - p. xxi 3. 1: Systemic Risk via Dynamic Correlations - p. 3 4. 2: Systemic Risk and Financial Interconnectedness: Network Measures and the Impact of the Indirect Effect - p. 43 5. 3: Are Critical Slowing Down Indicators Useful to Detect Financial Crises? - p. 73 6. 4: Onset of Financial Instability Studied via Agent-based Models - p. 95 7. Part 2: Early Warning System for Systemic Risk(s) - p. 125 8. 5: Score-driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads - p. 129 9. 6: Model-based Business Cycle and Financial Cycle Decomposition for Europe and the United States - p. 151 10. 7: Danger Zones for the Financial System - p. 169 11. 8: Risk Monitoring Systems in Real-time Based on Dynamic Factor Models - p. 191 12. Part 3: Policy Implications - p. 235 13. 9: Policy Lessons from Systemic Risk Modeling and Measurement - p. 239 14. List of Authors - p. 275 15. Index - p. 277
