How Long to Read Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses

How Long Does it Take to Read Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses?

It takes the average reader and 45 minutes to read Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses by Zineddine Alla

Assuming a reading speed of 250 words per minute. Learn more

Description

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the distress of other entities in the system. This valuation is made possible by a multivariate density which characterizes the asset values of the financial entities making up the system. In this paper this density is estimated using CIMDO, a statistical approach, which infers densities that are consistent with entities’ probabilities of default, which in this case are estimated using market-based data. Hence, SE losses capture the effects of interconnectedness structures that are consistent with markets’ perceptions of risk. We then show how SE losses can be decomposed into the likelihood of distress and the magnitude of losses, thereby quantifying the contribution of specific entities to systemic contagion. To illustrate the approach, we quantify SE losses due to Lehman Brothers’ default.

How long is Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses?

Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses by Zineddine Alla is 45 pages long, and a total of 11,475 words.

This makes it 15% the length of the average book. It also has 14% more words than the average book.

How Long Does it Take to Read Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses Aloud?

The average oral reading speed is 183 words per minute. This means it takes 1 hour and 2 minutes to read Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses aloud.

What Reading Level is Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses?

Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses is suitable for students ages 8 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

Where Can I Buy Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses?

Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses by Zineddine Alla is sold by several retailers and bookshops. However, Read Time works with Amazon to provide an easier way to purchase books.

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