Bhatti Kiran

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Financial markets

Systematic Risk

Gr. 962, C Series, 3rd Year

Bhatti Kiran
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Financial markets

Content

Introduction
What is systematic risk and it looks like
Definition of systematic risk
Definition of systemic risk
Systematic and Systemic risks
CAPM
Profitability and expected value
Conclusion
B

Gr. 962, C Series, 3rd Year

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INTRODUCTION

The paper aims to present, analyze, define and offer examples of systematic risk that affect
the present markets course. It tries to gather all the existent information connected to the up
mentioned topics in order to create a clear view upon the functions and implications in the
financial activities. Starting from the general definition, that can be founded in all the finance
related books and articles, the concept states that: "Systemic risk refers to the risk or probability
of breakdowns in an entire system, as opposed to breakdowns in individual parts or
components, and is evidenced by co-movements (correlation) among most or all the parts."
(GEORGE G. KAUFMAN AND KENNETH E. SCOTT-What Is Systemic Risk, and Do Bank Regulators
Retard or Contribute to It?), a concrete pattern will be established. Some important questions arise
when we talk about this subject: What systematic risk really is? How it can be measured and how it
affects the valuation system? What are the effects? How it can be measured? We wil try answer to
them in the following paper.
The structure of the project is made of topic that targets the questions already asked. All the
information is taken from scientific books, academic papers and articles but it will also present our view
and opinions on the subject. The examples used through the whole paper are from real life from
different market analysis but there are also some fictive examples marked by italic writing. The
importance of understanding systemic risk for maintaining financial stability is widely recognized,
however the progress in developing effective approaches is gradual and does not meet the emergency
of the task.

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What is systematic risk and how it looks like

Our modern world gave birth to a new world, an interconnected era in

which a small mistake made in small place becomes an international catastrophe
due to the evolution, globalization and the new normality of our turbulence life.

Systematic Risk, the opposite of

the unsystematic risk, represents the whole market

risk of collapse, it is about the volatility that affects more than a particular stock or industry, it
affects the entire financial system. The theory name suggests that this phenomenon implies the
"financial system instability, potentially catastrophic, caused or exacerbated by idiosyncratic
events or conditions in financial intermediaries" ( Tom Daula- Financial system instability,
potentially catastrophic, caused or exacerbated by idiosyncratic events or conditions in financial
intermediaries"). Another general theory that gives a perspective of the volatility on the
financial market is the cascading failure theory of an interconnected network facing an
unpredictable shock which directly leads to failure since all the systems are correlated. The last
economic crises is an effect of the market failure that was based on a domino scheme, that
strike down one by one the pylons that supported the economic activities starting from the
housing market to all the market segments. Either banking system structure or financial markets
structure can lead to cascading failures, and systemic risk analysis and regulation should focus on
both. A more simplified version to understand the systematic risk would be the Millennium
Footbridge case. The bridge was constructed in London and opened for pedestrians on June
2000 but the steel bridge had to be closed after two days due to an unforeseen swaying
motion. Even though the construction did not fail any test, the people walk created small
vibrations along the bridge that made all the passing-by people to adjust their posture
concomitantly. This reaction led to a feedback loop while the swinging motion increased and
therefore, people adapted more drastically their stance. This is an example of an endogenous
response that was created by the bridge system and amplified by it. The whole idea is that each
economic agent responds to a particular event, and their decision affects the market through
different mechanisms and feedbacks. This may unexpectedly create a dangerous cycle, a bubble
that may burst anytime, causing a crisis. The challenges facing systemic risk evaluation and
regulation still persist, as the definition of systemic risk is somewhat unsettled and that affects

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attempts to provide solutions. Our understanding of systemic risk is evolving and the awareness
of data relevance is rising gradually; this challenge is reflected in the focus of major
international research initiatives. There is a consensus that the direct and indirect costs of a
systemic crisis are enormous as opposed to preventing it, and that without regulation the
externalities will not be prevented; but there is no consensus yet on the extent and detail of
regulation, and research expectations are to facilitate the regulatory process.
This type of risk has two main important characteristics: unpredictability and the lack
of capability to avoid it completely. Summing this up the remaining option to be used is to
temper it down by using a good asset allocation strategy or through hedging. It can be
interpreted as the overall aggregate risk that comes from things like: natural disasters, wars,
broad changes in government policies, macroeconomic changes and other events that cannot
be planned or avoided. Thinking of the chain-reaction or direct-causation failures flowing
through interconnected institutions, there are two lines of attack. Supervisors, as just noted,
can reduce the amount of loss in the initial failure by prompt closure rules. Private banks also
have many ways, such as careful monitoring and exposure ceilings, to protect themselves
against defaults by their counterparties, and it is important that regulation not undermine their
incentives to do so.
In finances and investment, systematic risk looks like this:

(BETA)
Beta sign represents the measurement of investment volatility in correlation with the market
volatility. There are 3 cases with different outcomes:
1) Beta > 1. The investment has more systematic risk than the market
2) Beta = 1. The investment has a systematic risk equal to the market
3) Beta < 1. The investment has less systematic risk than the market

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Definition of the Systematic Risk

There are many types of investing risk. The ultimate risk is permanently losing your capital. In
order to avoid the ultimate risk you need an investment risk management plan. Part of this plan
is to understand systematic and unsystematic risk and the most effective approaches to
mitigating these risks.
Systematic Risk:
The risk inherent to the entire market or an entire market segment. Systematic risk, also known
as undiversifiable risk, volatility or market risk, affects the overall market, not just a
particular stock or industry. This type of risk is both unpredictable and impossible to completely
avoid. It cannot be mitigated through diversification, only through hedging or by using the right
asset allocation strategy.
Systematic risk is risk associated with market returns. This is risk that can be attributed to broad
factors. It is risk to your investment portfolio that cannot be attributed to the specific risk of
individual investments. Systematic risk, also known as "market risk" or "un-diversifiable risk", is
the uncertainty inherent to the entire market or entire market segment. Also referred to
as volatility, systematic risk consists of the day-to-day fluctuations in a stock's price. Volatility is
a measure of risk because it refers to the behavior, or "temperament," of your investment
rather than the reason for this behavior. Because market movement is the reason why people
can make money from stocks, volatility is essential for returns, and the more unstable the
investment the more chance there is that it will experience a dramatic change in either
direction.
Systematic risk underlies all other investment risks. If there is inflation, you can invest in
securities in inflation-resistant economic sectors. If interest rates are high, you can sell your
utility stocks and move into newly issued bonds. However, if the entire economy
underperforms, then the best you can do is attempt to find investments that will weather the
storm better than the broader market. Popular examples are defensive industry stocks, for
example, or bearish options strategies.
Examples include changes in interest rates and consumer prices. Although it is not possible to
eliminate systematic risk through diversification, it is possible to reduce it by acquiring
securities (for example, those of utilities and many blue chips) that have histories of relatively
slowly changing prices. The predictable impact that rising interest rates have on the prices of
previously issued bonds is one example of systematic risk.
Macro factors which influence the direction and volatility of the entire market would be
systematic risk. An individual company cannot control systematic risk. Recession, wars, and
interest rate represent the sources for systematic risk for they affect the complete market and

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are unavoidable through diversification. While this risk type affects a wide range of securities,
unsystematic risk affects quite a particular group of securities or even an individual security.
Moreover, systematic risk can be reduced by just being hedged.
Systematic risk can be partially mitigated by asset allocation. Owning different asset classes
with low correlation can smooth portfolio volatility because asset classes react differently to
macroeconomic factors. When some asset categories (i.e. domestic equities, international
stocks, bonds, cash, etc.) are increasing others may be falling and vice versa.
To further reduce risk, asset allocation investment decisions should be based on valuation. I
want to adjust my asset allocation target according to valuations. I want to overweight those
asset classes that are bargains and own less or avoid investments which are overpriced. When
mitigating systematic risk within a diversified portfolio, cash may be the most important and
under appreciated asset category.
Example of systematic risk
To illustrate systematic risk, let us take the example of an individual investor who purchases
stock worth $10,000 I 10 biotechnology companies. If unexpected events lead to a appalling
setback and one or more companies face a drop in the stock price, the investor experiences a
loss. On the contrary, an investor purchasing stock worth $100,000 in a single biotechnology
company would experience ten times the loss from such an event.
Sources of systematic risk
Systematic risk results from political factors, economic crashes, and recessions, changes in
taxation, natural disasters, and foreign-investment policy. These risks are widespread as they
can affect any investment or any organization. The Great Recession provides a prime example
of systematic risk. Anyone who was invested in the market in 2008 saw the values of their
investments change because of this market-wide economic event, regardless of what types of
securities they held. The Great Recession affected different asset classes in different ways,
however, so investors with broader asset allocations were impacted less than those who held
nothing but stocks.
Identifying risk
Systematic risks are recognized by estimating and analyzing the statistical relationships
between the different asset portfolios of an organization through the use of techniques like
principal components analysis.
BREAKING DOWN 'Systematic Risk'
For example, putting some assets in bonds and other assets in stocks can mitigate systematic

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risk because an interest rate shift that makes bonds less valuable will tend to make stocks more
valuable, and vice versa, thus limiting the overall change in the portfolios value from
systematic changes. Interest rate changes, inflation, recessions and wars all represent sources
of systematic risk because they affect the entire market. Systematic risk underlies all other
investment risks.
If you want to know how much systematic risk a particular security, fund or portfolio has, you
can look at its beta, which measures how volatile that investment is compared to the overall
market. A beta of greater than 1 means the investment has more systematic risk than the
market, less than 1 means less systematic risk than the market, and equal to one means the
same systematic risk as the market.
Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison
to the market as a whole. In other words, beta gives a sense of a stock's market risk compared
to the greater market. Beta is also used to compare a stock's market risk to that of other stocks.
Beta is used in the capital asset pricing model (CAPM).
Beta is calculated using regression analysis, and you can think of beta as the tendency of a
security's returns to respond to swings in the market. A beta of 1 indicates that the security's
price will move with the market. A beta of less than 1 means that the security will be less
volatile than the market. A beta of greater than 1 indicates that the security's price will be more
volatile than the market. For example, if a stock's beta is 1.2, it's theoretically 20% more volatile
than the market.
Many utility stocks have a beta of less than 1. Conversely, most high-tech Nasdaq-based stocks
have a beta greater than 1, offering the possibility of a higher rate of return, but also posing
more risk.
Beta helps us to understand the concepts of passive and active risk. The graph below shows a
time series of returns (each data point labeled "+") for a particular portfolio R(p) versus the
market return R(m). The returns are cash-adjusted, so the point at which the x and y axes
intersect is the cash-equivalent return. Drawing a line of best fit through the data points allows
us to quantify the passive, or beta, risk and the active risk, which we refer to as alpha.

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The gradient of the line is its beta. For example, a gradient of 1.0 indicates that for every unit
increase of market return, the portfolio return also increases by one unit.
Systematic Risk
a) beta < 1 or equal to 1.0 It means there is less systematic risk in portfolio.
b) beta > 1.0 It means more systematic risk in portfolio.

When whole economic structure is weak, systematic risk happens. This weakness may be of
fiscal policy, monetary policy, international trading rules, war, recession of economy. All these
are major factors.

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Definiton of Systemic Risk

What is Systematic Risk?Systematic risk is the risk that may affect the functioning of the entire
market and cannot be avoided through measures such as portfolio diversification. Portfolio
diversification is the inclusion of a variety of securities and investments that have varying levels
of risk, returns, maturities, and other different characteristics, into a portfolio.
Systemic risk is the risk that affects a certain industry that is usually caused by an event that
triggers such a collapse. Since systematic risk only affects one particular industry, it can be
diversified. This means that investors can escape the risk inherent to one industry by populating
their investment portfolio with a bunch of different securities from a number of industries with
hope that losses made from investments in one industry can be overcome by profits made in
investments other industries.
Example of a systemic risk is the collapse of Lehman Brothers that triggered a collapse in the
banking system of the United States with ripple effects across the economy, which resulted in
many investors losing confidence.

Systemic Risk
Unsystematic risk, also known as "specific risk," "diversifiable risk" or "residual risk," is the type
of uncertainty that comes with the company or industry you invest in. Unsystematic risk can be
reduced through diversification. For example, news that is specific to a small number of stocks,
such as a sudden strike by the employees of a company you have shares in, is considered to be
unsystematic risk.
A risk that is carried by an entire class of assets and/or liabilities. Systemic risk may apply to a
certain country or industry, or to the entire global economy. It is impossible to reduce systemic
risk for the global economy (complete global shutdown is always theoretically possible), but
one may mitigate other forms of systemic risk by buying different kinds of securities and/or by
buying in different industries. For example, oil companies have the systemic risk that they will
drill up all the oil in the world; an investor may mitigate this risk by investing in both oil
companies and companies having nothing to do with oil. Systemic risk is also called systematic
risk or undiversifiable risk. Systemic risk means the risk of sink whole financial system due to
weakness of a single unit of the system. In real example, we see the systemic risk in financial
market. Subprime Mortgage Crisis! Yes, an event of providing large quantity of loans to home
holders became the trigger of financial crisis in USA.

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Systemic and systematic risk

Systemic risk and systematic risk are both forms of financial risk that need to be closely
monitored and considered by potential and current investors. Both forms of risk can result in
the investor losing a major portion of his investment, and since they are both so unpredictable
in nature investors must consider the possibility that such risks may cause large losses to
investment returns. Systemic risk and Systematic risk are very different to each other, and the
distinction is quite clear and simple.
Systematic risk is also called market risk or un-diversifiable risk and examples of such risks
include recession, wars and political instability, rising interest and inflation, and natural
disasters that affect the entire market. Systematic risk cannot be diversified; however, it can be
hedged against by using other money market securities that can be used to offer returns to
investors even when markets are not doing as well as predicted.
Systematic risk and systemic risk both affect the financial well being of an industry or an entire
market and must be watched out for by potential investors. Of the two forms of risk, systemic
risk poses less damage since systemic risk can be avoided or reduced through investing in a well
diversified portfolio. Systematic risk, on the other hand, is much more damaging since it affects
the entire market and cannot be diversified away. Hedging is possible, but a correct assessment
of the risk is required in order to hedge, which may not always be a skill possessed by most
investors.
Systematic risk is the risk that may affect the functioning of the entire market and cannot be
avoided through measures such as portfolio diversification.Systemic risk is that risk that affects
a certain industry that is usually caused by an event that triggers such a collapse.
Of the two forms of risk, systemic risk poses less damage since systemic risk can be avoided or
reduced through investing in a well diversified portfolio.
Below, there are stated the differences between systemic and systematic risks.
Systemic risk is generally used in reference to an event that can trigger a collapse in a certain
industry or economy, whereas systematic risk refers to overall market risk. Systemic risk does
not have an exact definition, many have used systemic risk to describe narrow problems, such
as problems in the payments system, while others have used it to describe an economic crisis
that was triggered by failures in the financial system. Generally, systemic risk can be described
as a risk caused by an event at the firm level that is severe enough to cause instability in the
financial system. As an example of systemic risk, the collapse of Lehman Brothers in 2008
caused major reverberations throughout the financial system and the economy. Lehman

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Brother's size and integration in the economy caused its collapse to result in a domino effect
that caused a major risk to the financial system in the U.S.
On the other hand, systematic risk is the risk inherent in the aggregate market that cannot be
solved by diversification. Some common sources of market risk are recessions, wars, interest
rates and others that cannot be avoided through a diversified portfolio. Though systematic risk
cannot be fixed with diversification, it can be hedged. Also, the risk that is specific to a firm or
industry and can be solved by diversification is called unsystematic or idiosyncratic risk.
Systematic and unsystematic risk
Some of the companies in your portfolio may experience unanticipated adverse conditions, like
an unannounced strike. This immediate adverse condition may be offset by unexpected good
fortune of other firms in your portfolio. However, stock prices and returns tend to move in
tandem, and not all variability can be eliminated through diversification.
It is preferable to divide a security's total risk into a portion that is peculiar to a specific firm and
can be diversified away (called unsystematic risk) and that portion that is market related and
nondiversifiable (called systematic risk):
Total risk = Unsystematic risk (diversifiable risk, firm-specific) + Systematic risk (nondiversifiable
risk, market-related)
Figure 1 indicates the reduction of total risk, as securities are added to a portfolio. The
remaining systematic risk is market related. The diversified portfolio will tend to move in
tandem with the market. Popular market indexes -- for example, Dow Jones Industrial Average
(DJIA), Standard & Poor's 500, NYSE, and AMEX -- are themselves diversified portfolios and will
tend to move in parallel.

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FIGURE 1: ELIMINATION OF UNSYSTEMATIC RISK THROUGH DIVERSIFICATION. As securities

are added to a portfolio, the total risk is reduced. The remaining systematic risk is market
related.
Some examples of systematic risk are boycotts, massive tax action, restrictive money policies,
and skyrocketing interest rates. Some examples of unsystematic risk are the death of Steve
Jobs, a wildcat strike of the United Auto Workers, Nokia suddenly enters the Microsoft market,
and oil is discovered in your backyard.
When securities are combined, a portion of a stock's variability in turn is canceled by
complementary variations in the returns of other securities. The total risk is the sum of
unsystematic risk and systematic risk. The capital asset pricing model's (CAPM) assumptions
result in investors holding diversified portfolios to minimize risk.
If the CAPM correctly describes market behavior, the measure of a security's risk is its marketrelated or systematic risk. The CAPM provides insight into the market's pricing of securities and
the determination of expected returns. Therefore, it also has a clear application in investment
management. The model relates to a firm's cost of equity capital and the cost of equity for the
market as a whole. The tool will arm you with a simple equation to assist you in optimizing your
investment decision and the creation of your portfolio.
Risk,return and market equilibirum
You must be compensated for taking on risk with your hard-earned money. Risky securities are
priced by the market to yield a higher than expected return than low-risk securities. The risk
premium is necessary to induce investment in the security. The market is dominated by riskaverse investors. You do not want to lose your money. There must be a positive relationship
between risk and expected return to achieve equilibrium. The expected return on a riskless
security like a Treasury bill is risk-free.
The expected return = Risk-free return + Risk premium
RS = RF + RP
In other words, the expected return will vary with the risk premium based upon the flat riskfree return. The curve can be linear or exponential, depending upon the risk premium
investment.
Capital Asset Pricing Model
The CAPM is an idealized view of how the market prices securities and determines expected
returns. It provides a measure of your risk premium and a method of estimating the market's
risk-expected return curve. The assumption of the model results in a world where investors
hold diversified portfolios to minimize risk. The only risk that an investor is sensitive to is
systematic or market-related risk.

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The idea is that variations in returns from one security will likely be canceled by complementary
variations in the returns of other securities in your portfolio. You are rewarded with a higher
expected return for holding market-related risks. The result of the CAPM is that a security's
return is related to the portion of risk that cannot be eliminated by portfolio combination.
CAPM provides a convenient measure of systematic risk. This measure is known as beta () and
gauges the tendency of a security's return to move in parallel with the overall market's return.
A good way to think of is as a measure of a security's volatility relative to the market's
volatility. If the stock has a beta of 1.0, it tends to rise and fall the same percentage as the
market (for example, Standard & Poor's 500).
Accordingly, = 1.0 indicates an average level of systematic risk. If beta is greater than 1.0, the
stock will change more than the market changes and will have a high level of systematic risk,
since there is greater sensitivity to market changes. A beta of less than 1.0 has a low level of
systematic risk and is less sensitive to market swings. The results determine the risk-expected
return tradeoff under the CAPM.
We know that RS = RF + Risk premium. Then the CAPM describes market behavior by
RS = RF + (RM RF)
This equation states that the expected return on a security is equal to the risk-free rate (RF) plus
a risk premium. The risk premium is times the return on the market (RM) minus the risk-free
rate. We can also restate the equation
RS RF = (RM RF)
which is equal to the risk premium for security S. The risk premium on a stock or portfolio varies
directly with the level of systematic risk, beta. The risk or expected return tradeoff with CAPM
is called the security market line (SML). The SML is pictured in Figure 2.

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FIGURE 2: SECURITY MARKET LINE. The risk premium on a stock or portfolio varies directly
with the level of systematic risk, beta. The security market line (SML) shows you the risk or
expected return tradeoff with CAPM.
One might pay the same amount for a safe investment as for an investment carrying more risk;
however, the riskier investment will, in theory, provide a higher return. This is the principle
behind the security market line . Diversification is a technique for reducing risk that relies on
the lack of a tight positive relationship among the returns of various types of assets. By
diversifying a portfolio of assets, an investor loses the chance to experience a return associated
with having invested solely in a single asset with the highest return. On the other hand, the
investor also avoids experiencing a return associated with having invested solely in the asset
with the lowest return -- sometimes even becoming a negative return. Thus, the role of
diversification is to narrow the range of possible outcomes.
Because of its high level of non-diversifiable risk, the market considers this stock risky. It is
priced to yield a high-expected return. In general, most companies with high total risk have high
beta, and companies with low total risk have low beta.
The most basic strategy for minimizing systematic risk is diversification. A well-diversified
portfolio will consist of different types of securities from different industries with varying
degrees of risk. The unsystematic risks will offset one another but some systematic risk will
always remain.

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Expected return
The CAPM correctly describes market behavior as the relevant measure of a security's risk as its
market-related or systematic risk as measured by . If a stock's return has a strong positive
relationship with the return on the market, a high beta, it will be priced to yield a high-expected
return. The market cares only about systematic risk.
Expected return with the CAPM:

Risk is defined as variability in return.

You can reduce risk by holding a diversified portfolio.
Security risk can be divided into systematic and unsystematic risk.
Risk that can be eliminated by diversification is unsystematic risk. It is risk that is
unique to the company and not related to other firms.
The remaining risk in a diversified portfolio is systematic risk and it is associated with
the movement of other securities and the market as a whole.
You hold diversified portfolios to minimize risk.
Holding a diversified portfolio allows you to be exposed only to systematic risk. You are
rewarded by a higher expected return only for holding systematic, market-related risk.
Accordingly, relevant risk is systematic, market-related risk and is measured by .
The risk or expected return tradeoff with the CAPM is SML.
Securities are priced by Rs= RF + Risk premium or Rs = RF = (RM RF)
The capital asset pricing model (CAPM) assumes asset returns are normally distributed random
variables. It is frequently observed that returns in equity and other markets are not normally
distributed. As a result, large swings can occur in the market more frequently than the normal
distribution assumption. The variance of returns is an adequate measurement of risk -- that is,
returns are normally distributed or distributed in any two-parameter way. Risk in financial
investments is not variance in itself. It is the probability of losing and is asymmetric in nature.
Potential shareholders' expectations are biased, causing market prices to provide inefficient
information. This possibility is studied in the field of behavioral finance, which uses
psychological assumptions to provide alternatives to the CAPM such as the overconfidencebased asset pricing model. It has been found that although an investor is more than 90%
confident in security selection and performance based upon belief, the actual performance is
substantially less.
You must rebalance your portfolios over time, as the CAPM assumes that active and potential
shareholders will consider all assets and optimize one portfolio. Individual shareholders tend to
have multiple portfolios and a goal for each. It is usual to have multiple portfolios -- for
example, an IRA, 401k, capital return, fixed income, and so on. You would just have a CAPM for
each of your portfolios and plan review and rebalancing in the course of the normal investment

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process. The model was introduced by a 1964 article by William F. Sharpe and others.
The CAPM assumes that the risk-return profile of a portfolio can be optimized. An optimal
portfolio displays the lowest possible level of risk for its level of return. Since each additional
asset introduced into a portfolio further diversifies the portfolio, the optimal portfolio must
make up every asset, with each asset value-weighted to achieve an optimized risk-return
portfolio.
'Capital Asset Pricing Model - CAPM' = A model that describes the relationship between risk and
expected return and that is used in the pricing of risky securities.
The CAPM says that the expected return of a security or a portfolio equals the rate on a riskfree security plus a risk premium. If this expected return does not meet or beat the required
return, then the investment should not be undertaken. The security market line plots the
results of the CAPM for all different risks (betas).

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Conclusion
Probability and Expected Value
The expected value or return of a portfolio is the sum of all the possible returns multiplied by
the probability of each possible return. One form of risk is the amount of deviation and the
probability of that deviation from the expected return.
Portfolio risk is reduced by mitigating systematic risk with asset allocation, and unsystematic
risk with diversification. Mitigation of systematic and unsystematic risk allows a portfolio
manager to put higher risk/reward assets in the portfolio without accepting additional risk. This
is called portfolio optimization.
In other words, a manager is willing to accept a given amount of risk. The total risk of the
portfolio is lowered through proper asset allocation and diversification. Now the manager can
add more aggressive investments to the portfolio and still maintain the given amount of risk he
is willing to accept.
Systematic and unsystematic risks can be partially mitigated with risk management solutions
such as asset allocation, diversification, and valuation timing. Used properly, a manager can
increase portfolio returns and/or reduce risk to optimize an investment portfolio.

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References

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Volume Title: Quantifying Systemic Risk;Volume Author/Editor: Joseph G. Haubrich and Andrew
W. Lo,editors
Systemic Risk Identification, Modelling, Analysis, and Monitoring:An Integrated Approach
Antoaneta Sergueiva*University College London, Department of Computer Science,Financial
Computing and Analytics Group
What Is Systemic Risk, and Do Bank Regulators Retard or Contribute to It? GEORGE G.
KAUFMAN AND KENNETH E. SCOTT