Measuring Systemic Risk: A Risk Management Approach
Measuring Systemic Risk: A Risk Management Approach
Lehar, Alfred , "Measuring Systemic Risk: A Risk Management Approach" (June 2003). EFA 2003 Annual Conference Paper No. 406. Abstract: This paper proposes a new method to measure and monitor the systemic 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 the regulator's portfolio. Using a sample of international banks from 1988 until 1999, I estimate correlations between bank asset portfolios and compute different measures of systemic risk. The portfolio aspect of the regulator's deposit insurance liability is explicitly considered and the methodology allows a comparison of sub-samples from different countries. Correlations, bank asset volatility, and bank capitalization increase for North American and somewhat for European banks, while Japanese banks face deteriorating capital levels and increasing volatility of their asset portfolios. In the sample period, the North American banking system gains stability while the Japanese banking sector becomes more fragile. The expected future liability of the regulator varies substantially over time and is especially high during the Asian crisis starting in 1997. Further analysis shows that the Japanese banks contribute most to the volatility of the regulator's liability at that time. Larger and more profitable banks have lower systemic risk and additional equity capital reduces systemic risk only for banks that are constrained by regulatory capital requirements. Go to article
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Facts on MBA
Tuck School of Business, part of Dartmouth College, was the first graduate school of management in the world. Founded in 1900, it was the first institution to confer advanced degrees (masters) in commercial sciences, the forebearer of the modern MBA.
Business schools and MBA courses may be accredited by external bodies which provide students and employers with an independent view of their quality.
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