A Survey of Systemic Risk Analytics

165 Pages Posted: 11 Jan 2012 Last revised: 16 Mar 2016

See all articles by Dimitrios Bisias

Dimitrios Bisias

Massachusetts Institute of Technology (MIT)

Mark D. Flood

R. H. Smith School of Business, U. of Maryland

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering; Santa Fe Institute

Stavros Valavanis

Massachusetts Institute of Technology (MIT)

Multiple version iconThere are 2 versions of this paper

Date Written: January 11, 2012

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 appendix. To encourage experimentation and innovation among as broad an audience as possible, we have developed open-source Matlab code for most of the analytics surveyed.

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

JEL Classification: G12, G29, C51

Suggested Citation

Bisias, Dimitrios and Flood, Mark D. and Lo, Andrew W. and Valavanis, Stavros, A Survey of Systemic Risk Analytics (January 11, 2012). U.S. Department of Treasury, Office of Financial Research No. 0001, Available at SSRN: https://ssrn.com/abstract=1983602 or http://dx.doi.org/10.2139/ssrn.1983602

Dimitrios Bisias

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States

Mark D. Flood

R. H. Smith School of Business, U. of Maryland ( email )

College Park
College Park, MD 20742
United States

Andrew W. Lo (Contact Author)

Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering ( email )

100 Main Street
E62-618
Cambridge, MA 02142
United States
617-253-0920 (Phone)
781 891-9783 (Fax)

HOME PAGE: http://web.mit.edu/alo/www

Santa Fe Institute

1399 Hyde Park Road
Santa Fe, NM 87501
United States

Stavros Valavanis

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
4,981
Abstract Views
22,954
rank
2,025
PlumX Metrics