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A Survey of Systemic Risk Analytics

165 Pages Posted: 11 Jan 2012 Last revised: 16 Mar 2016

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); Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)

Stavros Valavanis

Massachusetts Institute of Technology (MIT)

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Date Written: January 11, 2012

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.

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

JEL Classification: G12, G29, C51

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: https://ssrn.com/abstract=1983602 or http://dx.doi.org/10.2139/ssrn.1983602

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

Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)

Stata Center
Cambridge, MA 02142
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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