A Survey of Systemic Risk Analytics

Dimitrios Bisias, Mark Flood, Andrew W. Lo, Stavros Valavanis
2012 Annual Review of Financial Economics  
The Office of Financial Research (OFR) Working Paper Series allows staff and their co-authors to disseminate preliminary research findings in a format intended to generate discussion and critical comments. Papers in the OFR Working Paper Series are works in progress and subject to revision. Views and opinions expressed are those of the authors and do not necessarily represent official OFR or Treasury positions or policy. Comments are welcome as are suggestions for improvements, and should be
more » ... ected to the authors. OFR Working Papers may be quoted without additional permission. www.treasury.gov/ofr 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, which can be accessed through the Office of Financial Research (OFR) at http://www.treasury.gov/ofr.
doi:10.1146/annurev-financial-110311-101754 fatcat:x5ahuebz5jhlxdgfkb2xgp3p3u