Abstract

http://ssrn.com/abstract=1983602
 
 

References (160)



 
 

Citations (16)



 


 



A Survey of Systemic Risk Analytics


Dimitrios Bisias


Massachusetts Institute of Technology (MIT)

Mark D. Flood


Office of Financial Research

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)

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

working papers series





Download This Paper

Date posted: January 11, 2012 ; Last revised: September 20, 2014

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
Office of Financial Research ( email )
Washington, DC 20220
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
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
Stavros Valavanis
Massachusetts Institute of Technology (MIT) ( email )
77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States
Feedback to SSRN


Paper statistics
Abstract Views: 9,105
Downloads: 2,753
Download Rank: 2,057
References:  160
Citations:  16

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.344 seconds