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上课用的参考书 貌似论坛没看到 作者及目录如下
About the Authors
MARKUS BRUNNERMEIER Princeton university and CEPR
ANDREW CROCKET Jpmorgan chase
CHARLES GOODHART London school of economics
HYUN SHIN Princeton university and CEPR
Acknowledgements
Foreword vii
Executive Summary
1 Analytical Background 1
2 Nature of Systemic Risk 11
2.1 Solvency, Liquidity and Maturity Mismatch 11
2.2 Loss Spiral-Asset Price Effect 14
2.3 Margin/Haircut Spiral 16
2.4 Procyclicality and Margin Spirals 19
2.5 Externalities-Rationale for Regulation 20
2.6 Aggregate Liquidity Expansions and Contractions 21
3 Who Should be Regulated (by Whom) 23
3.1 Classification of Financial Institutions based on
Objective Risk Spillover Measures 23
3.2 Rules for Individually Systemic Institutions 25
3.3 Rules for Institutions that are "Systemic in a Herd" 25
3.4 International Considerations for International Entities 26
4 Counter-cyclical Regulation 29
4.1 Focus on Systemic Risk Spillover 29
4.2 When to look Out for Systemic Risk? 30
4.3 How to modify CAR? 30
4.4 More on Bank Capital : Two Notions 31
4.5 Ladder of Responses 33
4.6 Clear Incentives for Regulators : Rules versus Discretion 33
4.7 Cross-country Considerations 34
4.8 Contrast to Spanish Dynamic Provision Mechanism 34
5 Regulation of Liquidity and Maturity Mismatches 35
5.1 Focussing solely on Assets 36
5.2 Funding Liquidity and Maturity Mismatch 36
5.3 Mark to Funding-A New Accounting Rule 36
5.4 Capital Charges against Illiquidity 38
6 Other Regulatory Issues 41
6.1 Introduction 41
6.2 Remuneration 41
6.3 Loan to Value Ratios in Mortgages 45
6.4 Credit Rating Agencies 46
6.5 Centralized Clearing House Arrangements vs. OTC Markets 47
6.6 Year-end Spikes 47
7 The Structure of Regulation 49
8 Conclusions 55
8.1 General Conclusions and Recommendations 55
8.2 Capital Requirements 56
8.3 Liquidity 57
8.4 Other Considerations 57
Appendix : The Boundary Problem in Financial Regulation 59
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