A Survey of Systemic Risk Analytics

被引：334

作者：

Bisias, Dimitrios ^{[1
]}

Flood, Mark ^{[5
]}

Lo, Andrew W. ^{[2
,3
,4
,6
]}

Valavanis, Stavros ^{[3
]}

机构：

[1] MIT, Ctr Operat Res, Cambridge, MA 02139 USA

[2] MIT, Sloan Sch Management, Cambridge, MA 02139 USA

[3] MIT, Lab Financial Engn, Cambridge, MA 02139 USA

[4] MIT, Comp Sci & Artificial Intelligence Lab, Cambridge, MA 02139 USA

[5] US Dept Treasury, Off Financial Res, Washington, DC 20220 USA

[6] AlphaSimplex Grp LLC, Cambridge, MA 02142 USA

来源：

ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 4 | 2012年 / 4卷

关键词：

systemic risk; financial institutions; liquidity; financial crises; risk management; FINANCE; LIQUIDITY; DECISION;

D O I：

10.1146/annurev-financial-110311-101754

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 (R) 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.

引用

页码：255 / 296

页数：42

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