Risk Measurement and Systemic Risk

This volume contains papers that were either presented or are based on presentations at the Third Joint Central Bank Research Conference on Risk Measurement and Systemic Risk, which took place in Basel on 7 and 8 March 2002 at the Bank for International Settlements (BIS). The main goal of the conference was to bring together the business, research and policy communities to foster active exchange on issues related to risk measurement and systemic risk.

The papers in the volume focus on questions relating to the nature and sources of market liquidity, recent advances in risk measurement methods, sources of banking crises, and contagion effects across regions and markets.

This third in a series of joint research conferences was organised by the BIS on behalf of the Committee on the Global Financial System (CGFS), in co-operation with the European Central Bank, the Bank of Japan and the Board of Governors of the Federal Reserve System . The two earlier conferences were hosted by the Federal Reserve Board and the Bank of Japan in 1995 and 1998, respectively.