Explores the concept of systemic risk in the financial system
Explores how to measure systemic risk at firm level and system-wide level
Discusses macroprudential policy making
Explores trends in technology and society influencing finance and macroprudential policy
Presents ideas on how firms and individuals can best respond to current developments in finance linked to systemic risk
Malcolm Kemp is Founder and Managing Director of Nematrian Ltd, a consulting firm delivering services to the quantitative finance and actuarial communities. Previously, he was Director and Head of the Quantitative Research Team at Threadneedle Asset Management, responsible for its portfolio risk measurement and management activities. He is a leading expert on derivatives, performance measurement, risk measurement, liability driven investment and other quantitative investment techniques. Malcolm is a Fellow of the Institute of Actuaries, a Chartered Enterprise Risk Actuary, an Adjunct Professor at Imperial College Business School and a member of the Advisory Scientific Committee of the European Systemic Risk Board.
Systemic Risk provides readers with a wide-ranging practical guide to systemic risk in the financial system. It challenges the notion that systemic risk is exclusively about interconnectivities within the financial system, showing that past systemic risk crises have often involved a broader range of vulnerabilities.
It describes how regulators and governments are seeking to manage systemic risk, and how their concerns are driving change in regulatory and business environments across the financial sector. It sets out how firms and practitioners can effectively respond to these changes (covering topics such as data needs, quantification of risk exposures, management disciplines and skillset requirements etc.). It highlights the sources and characteristics of systemic risk and the concentrations of exposures to this risk. It also links systemic risk with other risk disciplines including exploring how systemic risk ties in with liquidity risk and credit risk and how it interacts with central clearing, collateralisation and pricing of derivatives.
1.Introduction
2.Systemic risk and the financial system
2.1Reasons for adopting broader definitions of systemic risk
2.2Reasons for narrowing the definition
2.3Interconnectedness and domino effects
2.4Hidden vulnerabilities and tsunamis
2.5Systemic risk and political risk
2.6Systemic risk and societal change
2.7Financial stability
2.8Procyclicality
2.9Macroprudential policy
2.10Key takeaways
3.Overall features of the financial system
3.1What predisposes the financial system to suffer from systemic risk?
3.2Financial sector regulation
3.3Regulatory capital and economic capital
3.4Accounting
3.5Tranching
3.6Rational and irrational behaviours
3.7Key takeaways
4.Individual elements of the financial system
4.1Banks
4.2Insurers
4.3Pension funds
4.4Investment funds
4.5Asset managers
4.6Shadow banks
4.7Securities financing
4.8Central counterparties and other market infrastructure elements
4.9Governments / sovereigns
4.10Sovereign wealth funds and other long-term unconstrained investors
4.11Credit rating agencies etc.
4.12The physical ecosphere
4.13Non-financial firms and the rest of the real economy
4.14Key takeaways
5.Measuring systemic risk
5.1Conceptual components
5.2Risk analytics proposed by academics
5.3The cloning property
5.4Risk analytics used by policymakers
5.5Data and IT system requirements
5.6Key takeaways
6.Designing and implementing macroprudential policy
6.1The history of macroprudential policy making
6.2Longer-term implications of increased focus on macroprudential policy
6.3Differentiating between macroprudential, microprudential and monetary policy
6.4Banking sector macroprudential policies
6.5Identifying systemically important firms
6.6Central clearing
6.7Key takeaways
7.Network effects and societal shift
7.1Cyber risk
7.2Entrepreneurialism versus conservatism
7.3Interconnectivity and knowledge sharing
7.4Can advances in IT `solve´ systemic risk?
7.5Interpreting the concept of `fairness´
7.6Key takeaways
8.Responding to systemic risk
8.1Broad regulatory trends
8.2Managing the interaction with regulators and supervisors
8.3Data management activities
8.4Risk modelling
8.5Risk management and governance
8.6Systemic risk officers
8.7Responding to changes in market structure8.8Key takeaways
Systemic Risk provides readers with a wide-ranging practical guide to systemic risk in the financial system. It challenges the notion that systemic risk is exclusively about interconnectivities within the financial system, showing that past systemic risk crises have often involved a broader range of vulnerabilities.
It describes how regulators and governments are seeking to manage systemic risk, and how their concerns are driving change in regulatory and business environments across the financial sector. It sets out how firms and practitioners can effectively respond to these changes (covering topics such as data needs, quantification of risk exposures, management disciplines and skillset requirements etc.). It highlights the sources and characteristics of systemic risk and the concentrations of exposures to this risk. It also links systemic risk with other risk disciplines including exploring how systemic risk ties in with liquidity risk and credit risk andhow it interacts with central clearing, collateralisation and pricing of derivatives.
Preface 1. Introduction 2. The financial sector canvas: similarities and differences between sectors 3. How the canvas can be damaged: systemic risk, its causes and links to other risks 4. Regulator and government responses: macro-prudential policy and other drivers 5. Network effects: the technological and societal environment 6. Measuring systemic risk: 'big data' challenges and network complexities 7. Managing systemic risk: tools and techniques for firms, risk managers and regulators 8. Profiting from systemic risk: adapting business models to respond to systemic risk
Malcolm Kemp is Founder and Managing Director of Nematrian Ltd, a consulting firm delivering services to the quantitative finance and actuarial communities. Previously, he was Director and Head of the Quantitative Research Team at Threadneedle Asset Management, responsible for its portfolio risk measurement and management activities. He is a leading expert on derivatives, performance measurement, risk measurement, liability driven investment and other quantitative investment techniques. Malcolm is a Fellow of the Institute of Actuaries, a Chartered Enterprise Risk Actuary, an Adjunct Professor at Imperial College Business School and a member of the Advisory Scientific Committee of the European Systemic Risk Board.
Über den Autor
Malcolm Kemp is Founder and Managing Director of Nematrian Ltd, a consulting firm delivering services to the quantitative finance and actuarial communities. Previously, he was Director and Head of the Quantitative Research Team at Threadneedle Asset Management, responsible for its portfolio risk measurement and management activities. He is a leading expert on derivatives, performance measurement, risk measurement, liability driven investment and other quantitative investment techniques. Malcolm is a Fellow of the Institute of Actuaries, a Chartered Enterprise Risk Actuary, an Adjunct Professor at Imperial College Business School and a member of the Advisory Scientific Committee of the European Systemic Risk Board.
Inhaltsverzeichnis
Preface 1. Introduction 2. The financial sector canvas: similarities and differences between sectors 3. How the canvas can be damaged: systemic risk, its causes and links to other risks 4. Regulator and government responses: macro-prudential policy and other drivers 5. Network effects: the technological and societal environment 6. Measuring systemic risk: 'big data' challenges and network complexities 7. Managing systemic risk: tools and techniques for firms, risk managers and regulators 8. Profiting from systemic risk: adapting business models to respond to systemic risk
Klappentext
Systemic Risk provides readers with a wide-ranging practical guide to systemic risk in the financial system. It challenges the notion that systemic risk is exclusively about interconnectivities within the financial system, showing that past systemic risk crises have often involved a broader range of vulnerabilities.
It describes how regulators and governments are seeking to manage systemic risk, and how their concerns are driving change in regulatory and business environments across the financial sector. It sets out how firms and practitioners can effectively respond to these changes (covering topics such as data needs, quantification of risk exposures, management disciplines and skillset requirements etc.). It highlights the sources and characteristics of systemic risk and the concentrations of exposures to this risk. It also links systemic risk with other risk disciplines including exploring how systemic risk ties in with liquidity risk and credit risk and how it interacts with central clearing, collateralisation and pricing of derivatives.
Explores the concept of systemic risk in the financial system
Explores how to measure systemic risk at firm level and system-wide level
Discusses macroprudential policy making
Explores trends in technology and society influencing finance and macroprudential policy
Presents ideas on how firms and individuals can best respond to current developments in finance linked to systemic risk
