A Survey of Systemic Risk Analytics
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 co...
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| Format: | Article |
| Language: | en_US |
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Annual Reviews
2014
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| Online Access: | http://hdl.handle.net/1721.1/87772 https://orcid.org/0000-0002-8793-0846 https://orcid.org/0000-0003-2944-7773 |
| _version_ | 1811073305543704576 |
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| author | Bisias, Dimitrios Flood, Mark Valavanis, Stavros Lo, Andrew W |
| author2 | Massachusetts Institute of Technology. Computer Science and Artificial Intelligence Laboratory |
| author_facet | Massachusetts Institute of Technology. Computer Science and Artificial Intelligence Laboratory Bisias, Dimitrios Flood, Mark Valavanis, Stavros Lo, Andrew W |
| author_sort | Bisias, Dimitrios |
| collection | MIT |
| description | 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. |
| first_indexed | 2024-09-23T09:31:02Z |
| format | Article |
| id | mit-1721.1/87772 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T09:31:02Z |
| publishDate | 2014 |
| publisher | Annual Reviews |
| record_format | dspace |
| spelling | mit-1721.1/877722023-03-01T02:14:08Z A Survey of Systemic Risk Analytics Bisias, Dimitrios Flood, Mark Valavanis, Stavros Lo, Andrew W Massachusetts 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 Bisias, Dimitrios Lo, Andrew W. Valavanis, Stavros 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. United States. Dept. of the Treasury. Office of Financial Research Massachusetts Institute of Technology. Laboratory for Financial Engineering National Science Foundation (U.S.) (Grant ECCS-1027905) 2014-06-13T16:41:49Z 2014-06-13T16:41:49Z 2012-10 Article http://purl.org/eprint/type/JournalArticle 1941-1367 1941-1375 http://hdl.handle.net/1721.1/87772 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. https://orcid.org/0000-0002-8793-0846 https://orcid.org/0000-0003-2944-7773 en_US http://dx.doi.org/10.1146/annurev-financial-110311-101754 Annual Review of Financial Economics Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf Annual Reviews MIT web domain |
| spellingShingle | Bisias, Dimitrios Flood, Mark Valavanis, Stavros Lo, Andrew W A Survey of Systemic Risk Analytics |
| title | A Survey of Systemic Risk Analytics |
| title_full | A Survey of Systemic Risk Analytics |
| title_fullStr | A Survey of Systemic Risk Analytics |
| title_full_unstemmed | A Survey of Systemic Risk Analytics |
| title_short | A Survey of Systemic Risk Analytics |
| title_sort | survey of systemic risk analytics |
| url | http://hdl.handle.net/1721.1/87772 https://orcid.org/0000-0002-8793-0846 https://orcid.org/0000-0003-2944-7773 |
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