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Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk
2013
IMF Working Papers
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on
doi:10.5089/9781475572780.001
fatcat:4urlbz2dk5h7bddvheyvabkdba