A Survey of Systemic Risk Analytics

Posted: 4 Nov 2012

See all articles by Dimitrios Bisias

Dimitrios Bisias

Massachusetts Institute of Technology (MIT)

Mark D. Flood

R. H. Smith School of Business, U. of Maryland

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)

Multiple version iconThere are 2 versions of this paper

Date Written: October 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 Supplemental Appendix. To encourage experimentation and innovation among as broad an audience as possible, we have developed an open-source Matlab® library for most of the analytics surveyed, which, once tested, will be accessible through the Office of Financial Research (OFR).

Suggested Citation

Bisias, Dimitrios and Flood, Mark D. and Lo, Andrew W. and Valavanis, Stavros, A Survey of Systemic Risk Analytics (October 2012). Annual Review of Financial Economics, Vol. 4, pp. 255-296, 2012. Available at SSRN: https://ssrn.com/abstract=2170926 or http://dx.doi.org/10.1146/annurev-financial-110311-101754

Dimitrios Bisias (Contact Author)

Massachusetts Institute of Technology (MIT) ( email )

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Mark D. Flood

R. H. Smith School of Business, U. of Maryland ( email )

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Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

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National Bureau of Economic Research (NBER) ( email )

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

Stata Center
Cambridge, MA 02142
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Stavros Valavanis

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States

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