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conference held at the Federal Reserve Bank of Chicago, in November 2012 that examined the social value of the financial sector …
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We present an economic model of systemic risk and show that each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), i.e., its propensity to be undercapitalized when the system as a whole is undercapitalized. SES increases in the...
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