Measuring Systemic Risk : A Risk Management Approach

@inproceedings{Lehar2013MeasuringSR,
  title={Measuring Systemic Risk : A Risk Management Approach},
  author={Alfred Lehar},
  year={2013}
}
This paper proposes a new method to measure and monitor the risk in a banking system. Standard tools that regulators require banks to use for their internal risk management are applied at the level of the banking system to measure the risk of a regulator’s portfolio. Using a sample of international banks from 1988 until 2002, I estimate the dynamics and… CONTINUE READING