A Survey of Systemic Risk Analytics

Author:

Bisias Dimitrios1,Flood Mark2,Lo Andrew W.13,Valavanis Stavros1

Affiliation:

1. Operations Research Center, 2Sloan School of Management, 3Laboratory for Financial Engineering, 5Computer Science and Artificial Intelligence Laboratory, Massachusetts Institute of Technology, Cambridge, Massachusetts 02139;, ,

2. Office of Financial Research, US Department of the Treasury, Washington, DC 20220;

3. AlphaSimplex Group, LLC, Cambridge, Massachusetts 02142

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 .

Publisher

Annual Reviews

Subject

Economics and Econometrics,Finance

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