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How to Calculate Systemic Risk Surcharges

Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson

in Quantifying Systemic Risk

Published in print:
2013
Published Online:
September 2013
ISBN:
9780226319285
eISBN:
9780226921969
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226921969.003.0007
Subject:
Economics and Finance, Econometrics

This chapter analyzes a scheme to charge financial firms for their systemic risk contributions, based on the price of their contingent capital insurance. It provides an explicit calculation formula ... More


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