Capital adequacy rules, catastrophic firm failure, and systemic risk

DOI10.1007/S11147-013-9088-2zbMATH Open1276.91101OpenAlexW3121845255MaRDI QIDQ385654FDOQ385654

Authors: Robert A. Jarrow 

Publication date: 2 December 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-013-9088-2

Recommendations

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• Allocating systemic risk in a regulatory perspective
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zbMATH Keywords

value at risksystemic riskcatastrophic failureleverage ratios

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Probability essentials
• An Introduction to Credit Risk Modeling
• Put Option Premiums and Coherent Risk Measures

Cited In (6)

• Scaling the twin peaks: systemic risk and dual regulation
• Measuring the probability of a financial crisis
• Salience, systemic risk and spectral risk measures as capital requirements
• Regulation risk
• Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
• Revenge of the steamroller: ABCP as a window on risk choices

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