A Survey of Systemic Risk Analytics

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

Annual Review of Financial Economics, 2012, vol. 4, issue 1, 255-296

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.

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)
Date: 2012
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Citations: View citations in EconPapers (449)

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Working Paper: A Survey of Systemic Risk Analytics (2012)
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