Measuring systemic risk

@inproceedings{Cont2008MeasuringSR,
  title={Measuring systemic risk},
  author={Rama Cont},
  year={2008}
}
The role of systemic risk in the recent crisis and the failure of current risk measurement and management methods to cope with it bring under question some of the premises underlying traditional approaches to risk measurement of portfolios. We first outline some of the shortcomings associated with distributionbased (law-invariant) risk measures and explain why risk measurement and regulation based on such measures cannot effectively monitor or mitigate systemic risk. We explore an alternative… CONTINUE READING