Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/106973
Authors: 
Gropp, Reint
Year of Publication: 
2014
Series/Report no.: 
SAFE Policy Letter 23
Abstract: 
Before the 2007-09 crisis, standard risk measurement methods substantially underestimated the threat to the financial system. One reason was that these methods didn't account for how closely commercial banks, investment banks, hedge funds, and insurance companies were linked. As financial conditions worsened in one type of institution, the effects spread to others. A new method that more accurately accounts for these spillover effects suggests that hedge funds may have been central in generating systemic risk during the crisis.
Subjects: 
systemic risk analysis
statistical risk measurement
spillover effects
Persistent Identifier of the first edition: 
Document Type: 
Research Report

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