Abstract

http://ssrn.com/abstract=1983602
 
 

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A Survey of Systemic Risk Analytics


Dimitrios Bisias


Massachusetts Institute of Technology (MIT)

Mark D. Flood


Government of the United States of America - Office of Financial Research

Andrew W. Lo


Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER)

Stavros Valavanis


Massachusetts Institute of Technology (MIT)

January 11, 2012

U.S. Department of Treasury, Office of Financial Research No. 0001

Abstract:     
We provide a survey of 31 quantitative measures of systemic risk in the economics and finance literature, chosen to span key themes and issues in systemic risk measurement and management. We motivate these measures from the supervisory, research, and data perspectives in the main text, and present concise definitions of each risk measure - including required inputs, expected outputs, and data requirements - in an extensive appendix. To encourage experimentation and innovation among as broad an audience as possible, we have developed open-source Matlab code for most of the analytics surveyed.

Number of Pages in PDF File: 165

Keywords: systemic risk, financial institutions, liquidity, financial crises, risk management

JEL Classification: G12, G29, C51


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Date posted: January 11, 2012 ; Last revised: July 30, 2015

Suggested Citation

Bisias, Dimitrios and Flood, Mark D. and Lo, Andrew W. and Valavanis, Stavros, A Survey of Systemic Risk Analytics (January 11, 2012). U.S. Department of Treasury, Office of Financial Research No. 0001. Available at SSRN: http://ssrn.com/abstract=1983602 or http://dx.doi.org/10.2139/ssrn.1983602

Contact Information

Dimitrios Bisias
Massachusetts Institute of Technology (MIT) ( email )
77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States
Mark D. Flood
Government of the United States of America - Office of Financial Research ( email )
717 14th Street, NW
Washington DC, DC 20005
United States

Andrew W. Lo (Contact Author)
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
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Stavros Valavanis
Massachusetts Institute of Technology (MIT) ( email )
77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States
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