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Modeling and Measuring Systemic Risk


Markus K. Brunnermeier


Princeton University - Department of Economics

Lars Peter Hansen


University of Chicago - Department of Economics; National Bureau of Economic Research (NBER)

Anil K. Kashyap


University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

Arvind Krishnamurthy


Northwestern University - Kellogg School of Management

Andrew W. Lo


Massachusetts Institute of Technology (MIT) - Sloan School of Management; Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL); National Bureau of Economic Research (NBER)
October 15, 2010

American Economic Association, Ten Years and Beyond: Economists Answer NSF's Call for Long-Term Research Agendas

Abstract:     
An important challenge worthy of NSF support is to quantify systemic financial risk. There are at least three major components to this challenge: modeling, measurement, and data accessibility. Progress on this challenge will require extending existing research in many directions and will require collaboration between economists, statisticians, decision theorists, sociologists, psychologists, and neuroscientists.

Number of Pages in PDF File: 5

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Date posted: August 12, 2011  

Suggested Citation

Brunnermeier, Markus K., Hansen, Lars Peter, Kashyap, Anil K., Krishnamurthy, Arvind and Lo, Andrew W., Modeling and Measuring Systemic Risk (October 15, 2010). American Economic Association, Ten Years and Beyond: Economists Answer NSF's Call for Long-Term Research Agendas. Available at SSRN: http://ssrn.com/abstract=1889163 or http://dx.doi.org/10.2139/ssrn.1889163

Contact Information

Markus Konrad Brunnermeier (Contact Author)
Princeton University - Department of Economics ( email )
Bendheim Center for Finance
Princeton, NJ
United States
609-258-4050 (Phone)
609-258-0771 (Fax)
HOME PAGE: http://www.princeton.edu/¡­markus

Lars Peter Hansen
University of Chicago - Department of Economics ( email )
1101 E 58th ST
Chicago, IL 60637
United States
773-702-8170 (Phone)
773-702-8490 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Anil K. Kashyap
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7260 (Phone)
773 702-0458 (Fax)
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
773-702-7260 (Phone)
773-702-0458 (Fax)
Arvind Krishnamurthy
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
847-491-2671 (Phone)
847-491-5719 (Fax)
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
100 Main Street
E62-618
Cambridge, MA 02142
United States
617-253-0920 (Phone)
781 891-9783 (Fax)
HOME PAGE: http://web.mit.edu/alo/www
Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)
Stata Center
Cambridge, MA 02142
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN (Beta)


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