A Survey of Systemic Risk Analytics

Dimitrios Bisias, Mark Flood, Andrew Lo () and Stavros Valavanis
Additional contact information
Dimitrios Bisias: MIT Operations Research Center
Stavros Valavanis: MIT Laboratory for Financial Engineering

No 12-01, Working Papers from Office of Financial Research, US Department of the Treasury

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, which can be accessed through the Office of Financial Research (OFR) at https://www.treasury.gov/ofr.

Keywords: Systemic Risk; Financial Institutions; Liquidity; Financial Crises; Risk Management (search for similar items in EconPapers)
JEL-codes: C51 G12 G29 (search for similar items in EconPapers)
Pages: 160 pages
Date: 2012-01-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (437)

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https://financialresearch.gov/working-papers/files ... micRiskAnalytics.pdf First version, 2012 (application/pdf)

Related works:
Journal Article: A Survey of Systemic Risk Analytics (2012)
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