The global financial crisis uncovered an important gap in the risk assessment of institutions operating in the supervised and shadow financial systems. Namely, risk assessments, either in private or policy making institutions, centered on the risk of a financial institution in isolation, abstracting from its risks to and exposure from the overall financial system. By overlooking systemic risk, a majority of analysts missed the severity of the 2007 2009 financial crisis, the extent of the contagion across institutions, and the magnitude of the losses incurred in the financial system, resulting in larger and preventable losses.
An understanding and analysis of systemic risk is now more important than ever for navigating the fluctuations of and interactions between financial institutions in a post-crisis world.
Systemic Risk Assessment and Oversight provides you with analytical tools for measuring systemic risk and conducting surveillance to address the analytical gaps uncovered by the financial crisis. It places practical tools and methods in the hands of market practitioners and policy analysts.
Establishing a bottom-up portfolio approach to systemic risk, Jorge A. Chan-Lau of the IMF provides you with a multitude of ready-to-implement methods and tools for analysing systemic risk. Whilst they can each be used independently, Systemic Risk Assessment and Oversight outlines a unified framework so you can understand how risk flows from individual institutions to the system and vice-versa.
The output of the tools presented in this key text will facilitate communication to senior management and guide strategy and policy decisions in financial institutions entwined in the system. Systemic Risk Assessment and Oversight is a how-to manual on systemic risk, illustrated with key cases and examples for risk managers, analysts, CROs, regulators, supervisors and strategists.
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About the Author
Jorge A. Chan-Lau holds Ph.D. and M.Phil. degrees in Finance and Economics from the Graduate School of Business, Columbia University; and a B.S. degree in Civil Engineering, summa cum laude, from Pontificia Universidad Católica del Perú. His research and applied work covers the areas of capital markets, risk management, financial regulation, and asset allocation, and has been published widely in books and professional journals including the Journal of Fixed Income, the Journal of Investing, IMF Staff Papers, and Financial Markets, Institutions, and Instruments. Jorge is a Senior Fellow at the Center for Emerging Market Enterprises at the Fletcher School, Tufts University; a member of the Risk Who s Who Society; an associate editor in two applied finance journals; and has served as an advisor on systemic risk at the Bank of Canada, the Central Bank of Chile; and Bank Negara Malaysia. He has worked at the Research and Capital Markets Departments at the International Monetary Fund; and the Structured Products Department at the International Finance Corporation, the World Bank Group, where he managed MATCH, a pilot frontier markets local currency loan portfolio for which he designed and implemented the pricing and economic capital allocation models. He has also held positions at Universidad de los Andes, Colombia; and the Earthquake Engineering Laboratory at Pontificia Universidad Católica del Perú.
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