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A Survey of Systemic Risk AnalyticsDimitrios BisiasMassachusetts Institute of Technology (MIT) Mark D. FloodIndependent Andrew W. LoMassachusetts 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 ValavanisMassachusetts 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 seriesDate posted: January 11, 2012 ; Last revised: January 13, 2012Suggested CitationContact Information
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