Data Use in the Measurement of Systemic Risk in Financial Systems
Presentation Type
Event
Track
Finance/Insurance Application
Abstract
The financial crisis of 2008 led to an increase in research on the subject of systemic risk in various financial systems--broadly speaking, the possibility that losses experienced by one participant in the system would start a cascade of losses in part or all of the rest of the system. While many papers are theoretical in nature and do not use actual data sets, others do. In this talk we will give a partial survey of empirical studies and the data sets used, for example Furfine's use of payment flow data from the Federal Reserve's large-value transfer system, Fedwlre, and the use of the Mexican interbank exposures market and the Mexican Large Value Payments System by Martinez-Jaramillo et al. We will discuss proposed systemic risk measures, by Bisias et al, and by the Federal Reserve.
Start Date
2-5-2019 3:30 PM
End Date
2-5-2019 4:30 PM
Data Use in the Measurement of Systemic Risk in Financial Systems
Dakota Room 250 A/C
The financial crisis of 2008 led to an increase in research on the subject of systemic risk in various financial systems--broadly speaking, the possibility that losses experienced by one participant in the system would start a cascade of losses in part or all of the rest of the system. While many papers are theoretical in nature and do not use actual data sets, others do. In this talk we will give a partial survey of empirical studies and the data sets used, for example Furfine's use of payment flow data from the Federal Reserve's large-value transfer system, Fedwlre, and the use of the Mexican interbank exposures market and the Mexican Large Value Payments System by Martinez-Jaramillo et al. We will discuss proposed systemic risk measures, by Bisias et al, and by the Federal Reserve.