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020 _a9783030942816
024 7 _a10.1007/978-3-030-94281-6
_2doi
040 _aTR-AnTOB
_beng
_erda
_cTR-AnTOB
041 _aeng
050 4 _aHD61
072 7 _aTBJ
_2bicssc
072 7 _aTEC009000
_2bisacsh
072 7 _aTBJ
_2thema
090 _aHD61EBK
100 1 _aRadev, Deyan.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
245 1 0 _aMeasuring Systemic Risk
_h[electronic resource] :
_bA Probabilistic Perspective /
_cby Deyan Radev.
250 _a1st ed. 2022.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2022.
300 _a1 online resource
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aStudies in Systems, Decision and Control,
_x2198-4190 ;
_v409
505 0 _aIntroduction -- Multivariate Probabilities from Individual CDS Spreads -- Summary and Final Words.
520 _aThis book provides a comprehensive methodology to measure systemic risk in many of its facets and dimensions based on state-of-the-art risk assessment methods. Systemic risk has gained attention in the public eye since the collapse of Lehman Brothers in 2008. The bankruptcy of the fourth-biggest bank in the USA raised questions whether banks that are allowed to become “too big to fail” and “too systemic to fail” should carry higher capital surcharges on their size and systemic importance. The Global Financial Crisis of 2008-2009 was followed by the Sovereign Debt Crisis in the euro area that saw the first Eurozone government de facto defaulting on its debt and prompted actions at international level to stem further domino and cascade effects to other Eurozone governments and banks. Against this backdrop, a careful measurement of systemic risk is of utmost importance for the new capital regulation to be successful and for sovereign risk to remain in check. Most importantly, the book introduces a number of systemic fragility indicators for banks and sovereigns that can help to assess systemic risk and the impact of macroprudential and microprudential policies.
650 0 _aEngineering mathematics.
650 0 _aEngineering—Data processing.
650 0 _aEconometrics.
650 0 _aProbabilities.
650 1 4 _aMathematical and Computational Engineering Applications.
650 2 4 _aQuantitative Economics.
650 2 4 _aData Engineering.
650 2 4 _aProbability Theory.
653 0 _aRisk assessment
710 2 _aSpringerLink (Online service)
830 0 _aStudies in Systems, Decision and Control,
_x2198-4190 ;
_v409
856 4 0 _uhttps://doi.org/10.1007/978-3-030-94281-6
_3Springer eBooks
_zOnline access link to the resource
942 _2lcc
_cEBK