Front Matter Page
European Department
Contents
1 Introduction
2 The model
3 Empirical estimates of systemic risk
4 Model-based assessment of the drivers of systemic risk
5 Conclusion
Reference
Appendices
Figures
Figure 1: Bridging the gap between the theory and the empirical models
Figure 2: Common asset exposure channel of distress dependence
Figure 3: Systemic Risk Amplification: Minsky channel
Figure 4: The Economy
Figure 5: The Time Structure
Figure 6: CIMDO-density, adjustment factor
Figure 7: Model-based assessment of the drivers of systemic risk
Figure 8: Expected Shortfalls in Profits, June 2007
Figure 9: Leverage
Figure 10: Expected Shortfalls in Profits, Dec 2016
Tables
Table 1: Bank’s balance sheet
Table 2: Variables in the model
Table 3: Variables for model calibration
Table 4: Banks’ expected shortfalls in profits in June 2007, measured by CIMDO
Table 5: UK Commercial Banks Balance Sheet data
Table 6: Model Calibration, pre-crisis
Table 7: Second sub-period. Model solution, without Minsky cycle
Table 8: No Minsky effect, pre-crisis
Table 9: Variables for the second period with Minsky effect
Table 10: Minsky effect, pre-crisis
Table 11: Model Calibration, post-crisis
Table 12: No Minsky effect, post-crisis
Table 13: Minsky effect, post-crisis