The DOI matches its Crossref record; 84 of the 84 references it cites were found in a registry or an index.
A Survey of Systemic Risk Analytics
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 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 .
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Citations
Cites
Prospect Theory: An Analysis of Decision under Risk
Kahneman, D., & Tversky, A. (1979) · Econometrica · doi:10.2307/1914185 · Cited by 48,524
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Schwarz, G. (1978) · The Annals of Statistics · doi:10.1214/aos/1176344136 · Cited by 47,033
Elements of Information Theory
Cover, T. M., & Thomas, J. A. (2001) · Wiley eBooks · doi:10.1002/0471200611 · Cited by 36,808
Prospect theory: An analysis of decision under risk
Kahneman, D., & Tversky, A. (1988) · Decision, Probability and Utility · doi:10.1017/cbo9780511609220.014 · Cited by 32,474
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Classification and Regression Trees.
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Generalized autoregressive conditional heteroskedasticity
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On Information and Sufficiency
Kullback, S., & Leibler, R. A. (1951) · The Annals of Mathematical Statistics · doi:10.1214/aoms/1177729694 · Cited by 20,193
Jolliffe, I. (2005) · Encyclopedia of Statistics in Behavioral Science · doi:10.1002/0470013192.bsa501 · Cited by 14,310
Breitung, J., & Hamilton, J. D. (1995) · Contemporary Sociology · doi:10.2307/2076916 · Cited by 10,966
Cited by
TENET: Tail-Event driven NETwork risk
Härdle, W. K., Wang, W., & Yu, L. (2016) · Journal of Econometrics · doi:10.1016/j.jeconom.2016.02.013 · Cited by 470
Sun, T. (2025) · Journal of Risk and Insurance · doi:10.1111/jori.70023 · Cited by 6
Metadata
- Authors
- Bisias, D., Flood, M., Lo, A. W., & Valavanis, S.
- Venue
- Annual Review of Financial Economics
- Publisher
- Annual Reviews
- Published
- 2012-10-01
- Volume
- 4
- Issue
- 1
- Pages
- 255-296
- ISSN
- 1941-1367 (ISSN-L)
- 1941-1375
- OpenAlex
- W3123085324
- Cited by
- 659
- References
- 84
- FWCI
- 12.89
- Type
- journal article
- Language
- en
- Open access
- closed
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