Good book on systemic risk

[voltaire]

Good morning,

Does anybody have a good book on systemic risk ?

 

[Andy Nguyen]

Pinging Mr. Ken Abbott
He probably knows anything risk related.

 

[Ken Abbott]

Pinging Mr. Ken Abbott
He probably knows anything risk related.

Start here:
http://fcic-static.law.stanford.edu/cdn_media/fcic-reports/fcic_final_report_full.pdf

 

[voltaire]

Thx Ken,

I'm already reading it. To be more precise something more "quant" related. Mostly model base.

 

[Ken Abbott]

try Darrell Duffie, How Big Banks Fail and What to Do About It

 

[voltaire]

try Darrell Duffie, How Big Banks Fail and What to Do About It

Merci Ken ! I have put my order in for the book !

 

[Ken Abbott]

Merci Ken ! I have put my order in for the book !

And do you really believe that we live in the best of all possible worlds?

 

[voltaire]

I'm not Candide

 

[Ken Abbott]

I'm not Candide

 

[rockanalyst]

The book suggested by Ken is an excellent source.

Might I also suggest, not to limit yourself to "a book or just books." In the aftermath of Sub prime crisis and EU debt crisis, ECB, FED, BIS have made Systemic Risk as their priority research area. So you will see many articles on Systemic risk.
While preparing a phd research proposal on Bank Activities and Systemic Risk, believe it or not I came across some of the best empirical research articles which helped me in understanding Systemic risk.
To sum up, just keep yourself abreast with ongoing research in the area, too.

Disclosure- Neither am I a risk practitioner nor an authority on Systemic Risk. I am prospective MFE student.

 

[voltaire]

If someone is interested, a good collection on systemic risk :

http://www.nber.org/books/brun11-1

 

[voltaire]

and also forget to thx also rockanalyst !

 

[bigbadwolf]

I'm not Candide

You mean you're not Dr. Pangloss.

 

[voltaire]

You mean you're not Dr. Pangloss.

True in a sense of the book but Candide in French is also an adjective which translate in English to naive... So I should have said I'm not naive !

 

[rockanalyst]

and also forget to thx also rockanalyst !

You are welcome.

 

[Ian Kaplan]

I've been reading Ludwig Chincarini's "The Crisis of Crowding" which covers a number of financial meltdowns. Chincarini is the co-author of Quantitative Portfolio Mangagement. For the 2008 crisis I recommend Gillian Tett's book "Fools Gold" which has a good history and evolution of the financial instruments that were mis-used to create the financial crisis.