Research Publication

November 2012 | Chapter

Challenges in Identifying and Measuring Systemic Risk

Lars Peter Hansen

Sparked by the recent “great recession” and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this essay I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy.

Title of book: Risk Topography: Systemic Risk and Macro Modeling|Editor(s): Markus Konrad Brunnermeier and Arvind Krishnamurthy|Place of Publication: Chicago|Publisher: University of Chicago Press|Tags: Financial Market Linkages to the Macroeconomy|Export BibTeX >
  title={Challenges in Identifying and Measuring Systemic Risk},
  author={Hansen, Lars Peter},
  institution={National Bureau of Economic Research}