A Survey of Systemic Risk Analytics

The paper focuses on quantitative tools to assess threats to financial stability. It gives a broad overview of the state of the art in measuring systemic risk by focusing on a key set of 31 specific measurements outlined elsewhere in peer-reviewed articles or working papers. (Working Paper no. 12-01)

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

Attachment:

• Source code