External imbalances played a pivotal role in the run-up to the global financial crisis, being an important underlying cause of the ensuing turmoil. While current account (flow) imbalances have narrowed in the aftermath of the crisis, net international investment position (stock) imbalances still...

We decompose hedge fund tail risk into two components: Systematic Conditional Tail Risk (SCTR) arising predictably from equity market exposure, and Idiosyncratic Conditional Tail Risk (ICTR) arising from proprietary investment technology. Using option holdings data, we demonstrate that low-SCTR...

What constitutes shadow banking has been described by the international financial institutions, such as FSB, IOSCO, ECB and European Commission. A common characteristic is that several of the shadow banking activities are outside the banking field but are likely to have an impact on the banking...

How well equipped are today's macroprudential regimes to deal with a re-run of the factors that led to the global financial crisis? We argue that a large proportion of the fall in US GDP associated with the crisis can be explained by two factors: the fragility of financial sector — represented...

We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific...

I adopt a novel approach vis-à-vis systemic risk in the capital markets and securities regulation in the US in light of the recent economic crisis. I show that regulators can introduce into the regulatory framework “regulatory systemic risk” – long-term imbalances introduced into the...

The global financial crisis (GFC) that the whole world was confronted with in 2007/09 proved to be an event of unprecedented severity that revealed major complications arising due to a combination of omissions, inattentiveness, a lack of understanding and even greediness on the part of market...