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SUMMARY:Measuring and allocating systemic risk - Cheridito\, P (Princeton 
 University)
DTSTART:20140926T080000Z
DTEND:20140926T084500Z
UID:TALK54630@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-author: Markus Brunnermeier (Princeton)\n\nThis paper devel
 ops a framework for measuring\, allocating and managing systemic risk. Sys
 tRisk\, our measure of total systemic risk\, captures the a priori cost to
  society for providing tail-risk insurance to the financial system. Our al
 location principle distributes the total systemic risk among individual in
 stitutions according to their size-shifted marginal contributions. To desc
 ribe economic shocks and systemic feedback effects we propose a reduced fo
 rm stochastic model that can be calibrated to historical data. We also dis
 cuss systemic risk limits\, systemic risk charges and a cap and trade syst
 em for systemic risk.\n\n
LOCATION:Seminar Room 1\, Newton Institute
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