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A Survey of Systemic Risk Analytics

Author

Listed:
  • 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.

Suggested Citation

  • Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    • Handle: RePEc:anr:refeco:v:4:y:2012:p:255-296
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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-110311-101754
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    More about this item

    Keywords

    systemic risk; financial institutions; liquidity; financial crises; risk management;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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