Some important work related to repos and systemic risk has been pouring out from economists and regulators in the past few days.
I’ll be writing about each, trying to highlight the key points in simple language, but here are links if you’d like to study the works yourself now:
“Risk Topography,” by Markus K. Brunnermeier (Princeton University), Gary Gorton (Yale University), and Arvind Krishnamurthy (Northwestern University). “The aim of this paper is to conceptualize and design a risk topography that outlines a data acquisition and dissemination process that informs policymakers, researchers and market participants about systemic risk.”
“Everything You Wanted to Know about the Tri-Party Repo Market, but Didn’t Know to Ask,” by Lucinda Brickler, Adam Copeland, and Antoine Martin, Liberty Street Economics. “In this post, we provide an overview of this market and discuss several reforms currently under way designed to improve functioning of the market.”
“Regulating systemic risk,” by Daniel K Tarullo, member, Board of Governors of the Federal Reserve System. “I will address the implementation of the new statutory regime for special supervision and regulation of financial institutions whose stress or failure could pose a risk to financial stability. Then I will identify two important issues raised by the implementation of this regime that need the attention of academics, analysts, and policymakers if we are to regulate systemic risk effectively and efficiently.”
“CoVaR: A Measure of Systemic Risk,” by Tobias Adrian and Markus K. Brunnermeier, Liberty Street Economics. “In this post, we .. propose a new measure of systemic risk and, second, outline a method that can help bring about the early detection of systemic risk buildup.”
“Global Financial Stability Report – Durable Financial Stability: Getting There from Here,” International Monetary Fund. “The Global Financial Stability Report provides semiannual assessments of global financial markets and addresses emerging market financing in a global context.”
“Systemic Risk Exposures, A 10x10x10 Approach,” Darrell Duffie, Stanford University. “This is a proposal to consider the collection and analysis of stresses among systemic financial institutions.”