Modeling and Measuring Systemic Risk

5 Pages Posted: 12 Aug 2011

See all articles by Markus K. Brunnermeier

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); Federal Reserve Bank of Chicago

Arvind Krishnamurthy

Northwestern University - Kellogg School of Management

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Date Written: October 15, 2010

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.

Suggested Citation

Brunnermeier, Markus Konrad and Hansen, Lars Peter and Kashyap, Anil K. and 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: https://ssrn.com/abstract=1889163 or http://dx.doi.org/10.2139/ssrn.1889163

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 )

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National Bureau of Economic Research (NBER)

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Anil K. Kashyap

University of Chicago, Booth School of Business ( email )

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National Bureau of Economic Research (NBER) ( email )

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Federal Reserve Bank of Chicago ( email )

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Arvind Krishnamurthy

Northwestern University - Kellogg School of Management ( email )

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Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering ( email )

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United States
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781 891-9783 (Fax)

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