Year: 2012
Type: article
Abstract: This paper describes a prototype quantitative framework for gauging systemic risk which explicitly characterizes banks' balance sheets and allows for macro credit risk, interest income risk, market risk, network interactions, and asset-side feedback effects.In presenting our results, we focus on projections for systemwide banking assets in the United Kingdom, considering both unconditional distributions and stress scenarios.We show how a combination of extreme credit and trading losses can * We would like to thank Emma Mattingley and Ruth Yu for excellent research assistance.
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1503265591