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A Survey of Systemic Risk Analytics

Contents:

Author Info

  • Dimitrios Bisias

    ()
    (Operations Research Center)

  • Mark Flood

    ()
    (Office of Financial Research, US Department of the Treasury, Washington, DC 20220)

  • Andrew W. Lo

    ()
    (Sloan School of Management
    Laboratory for Financial Engineering, Computer Science and Artificial Intelligence Laboratory, Massachusetts Institute of Technology, Cambridge, Massachusetts 02139, AlphaSimplex Group, LLC, Cambridge, Massachusetts 02142)

  • Stavros Valavanis

    ()
    (Laboratory for Financial Engineering)

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.

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File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-110311-101754
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Bibliographic Info

Article provided by Annual Reviews in its journal Annual Review of Financial Economics.

Volume (Year): 4 (2012)
Issue (Month): 1 (October)
Pages: 255-296

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Handle: RePEc:anr:refeco:v:4:y:2012:p:255-296

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Related research

Keywords: systemic risk; financial institutions; liquidity; financial crises; risk management;

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References

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Citations

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Cited by:
  1. Betz, Frank & Oprica, Silviu & Peltonen, Tuomas A. & Sarlin, Peter, 2013. "Predicting distress in European banks," Working Paper Series 1597, European Central Bank.
  2. Fernando Duarte & Thomas Eisenbach, 2013. "Fire-sale spillovers and systemic risk," Staff Reports 645, Federal Reserve Bank of New York.
  3. Xiao Qin & Chen Zhou, 2013. "Systemic Risk Allocation for Systems with A Small Number of Banks," DNB Working Papers 378, Netherlands Central Bank, Research Department.
  4. International Monetary Fund, 2012. "Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach," IMF Working Papers 12/46, International Monetary Fund.
  5. Lamont Black & Ricardo Correa & Xin Huang & Hao Zhou, 2013. "The systemic risk of European banks during the financial and sovereign debt crises," International Finance Discussion Papers 1083, Board of Governors of the Federal Reserve System (U.S.).
  6. Tobias Adrian & Daniel Covitz & Nellie Liang, 2013. "Financial stability monitoring," Finance and Economics Discussion Series 2013-21, Board of Governors of the Federal Reserve System (U.S.).
  7. Mardi Dungey & Matteo Luciani & David Veredas, 2012. "Ranking Systemically Important Financial Institutions," Tinbergen Institute Discussion Papers 12-115/IV/DSF44, Tinbergen Institute.
  8. Arnold, Bruce & Borio, Claudio & Ellis, Luci & Moshirian, Fariborz, 2012. "Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3125-3132.
  9. Guharay, Samar K. & Thakur, Gaurav S. & Goodman, Fred J. & Rosen, Scott L. & Houser, Daniel, 2013. "Analysis of non-stationary dynamics in the financial system," Economics Letters, Elsevier, vol. 121(3), pages 454-457.
  10. Matteo Smerlak & Brady Stoll & Agam Gupta & James S. Magdanz, 2014. "Mapping systemic risk: critical degree and failures distribution in financial networks," Papers 1402.4783, arXiv.org, revised Mar 2014.
  11. Christophe Hurlin & Sebastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2013. "Risk Measure Inference," Working Papers halshs-00877279, HAL.
  12. Mardi Dungey & Matteo Luciani & David Veredas, 2012. "Ranking Systemically Important Financial Institutions," Tinbergen Institute Discussion Papers 12-115/IV/DSF44, Tinbergen Institute.
  13. Martinez-Jaramillo, Serafin & Alexandrova-Kabadjova, Biliana & Bravo-Benitez, Bernardo & Solórzano-Margain, Juan Pablo, 2014. "An empirical study of the Mexican banking system’s network and its implications for systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 242-265.
  14. Jobst, Andreas A., 2013. "Multivariate dependence of implied volatilities from equity options as measure of systemic risk," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 112-129.
  15. Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley, 2014. "Partial correlation analysis: Applications for financial markets," Papers 1402.1405, arXiv.org.

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