A Survey of Systemic Risk Analytics
Name
Lo_A survey.pdf
Size
1.13 MB
Format
Adobe PDF
Checksum (MD5)
537d1084cde5db18fbb433a1cd49a381
Author(s)
Bisias, Dimitrios
Flood, Mark
Valavanis, Stavros
Lo, Andrew W
Date Issued
October 2012
Journal
Annual Review of Financial Economics
Publisher
Annual Reviews
Citation
Bisias, Dimitrios, Mark Flood, Andrew W. Lo, and Stavros Valavanis. “A Survey of Systemic Risk Analytics.” Annual Review of Financial Economics 4, no. 1 (October 2012): 255–296.
Version
Author's final manuscript
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) at http://www.treasury.gov/initiatives/wsr/ofr/Pages/default.aspx.
MIT Department
Massachusetts Institute of Technology. Computer Science and Artificial Intelligence Laboratory
Massachusetts Institute of Technology. Operations Research Center
Sloan School of Management
Sloan School of Management. Laboratory for Financial Engineering
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1146/annurev-financial-110311-101754
