A Survey of Systemic Risk Analytics
Author(s)Bisias, Dimitrios; Flood, Mark; Lo, Andrew W.; Valavanis, Stavros
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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.
DepartmentMassachusetts 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
Annual Review of Financial Economics
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.
Author's final manuscript