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Lo\u003Cbr>Stavros Valavanis4\u003Cbr>1 MIT Operations Research Center\u003Cbr>2 Senior Policy Advisor, OFR, [mark.flood@treasury.gov](mark.flood@treasury.gov)\u003Cbr>3 MIT Sloan School of Management, [alo@mit.edu](alo@mit.edu)\u003Cbr>4 MIT Laboratory for Financial Engineering\u003Cbr>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.\u003Cbr>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 directed to the authors. OFR Working Papers may be quoted without additional permission.\u003Cbr>[www.treasury.gov/ofr](www.treasury.gov/ofr) |  |\n\nA Survey of  \nSystemic Risk Analytics 􀀃  \nDimitrios Bisias†, Mark Flood‡, Andrew W. Lo §, Stavros Valavanis¶  \nThis Draft: January 5, 2012  \nWe provide a survey of 31 quantitative measures of systemic risk in the economics and 􀀌nance literature, chosen to span key themes and issues in systemic risk measurement and management. We motivate these measures from the supervisory, research, and data perspectivesin the main text, and present concise de􀀌nitions 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 O􀀎ce of Financial Research (OFR) at [http://www. treasury. gov/ofr](http://www. treasury. gov/ofr).  \nKeywords: Systemic Risk; Financial Institutions; Liquidity; Financial Crises; Risk Management  \nJEL Classi􀀌cation: G12, G29, C51  \n􀀃 We thank Tobias Adrian, Lewis Alexander, Dick Berner, Markus Brunnermeier, Jayna Cummings, Darrell Du􀀎e, Doyne Farmer, Michael Gibson, Je􀀋 King, Nellie Lang, Adam LaVier, Bob Merton, Bill Nichols, Wayne Passmore, Patrick Pinschmidt, John Schindler, Jonathan Sokobin, Hao Zhou, and participants atthe 2011 OFR/FSOC Macroprudential Toolkit Conference for helpful comments and discussion, and Alex Wang for excellent research assistance. Research support from the O􀀎ce of Financial Research is gratefully acknowledged. The views and opinions expressed in this article are those of the authors only, and do not necessarily represent the views and opinions of AlphaSimplex Group, MIT, any of their a􀀎liates and employees, or any of the individuals acknowledged above.  \n†MIT Operations Research Center.  \n‡O􀀎ce of Financial Research.  \n§ MIT Sloan School of Management, MIT Laboratory for Financial Engineering, and AlphaSimplex Group, LLC.  \n¶ MIT Laboratory for Financial Engineering.  \nContents  \n1 Introduction 1  \n2 Supervisory Perspective 6  \n2.1 Trends in the Financial System ......................... 7  \n2.2 Policy Applications ................................ 10  \n2.3 The Lucas Critique and Systemic Risk Supervision .............. 14  \n2.4 Supervisory Taxonomy .............................. 15  \n2.5 Event/Decision Horizon Taxonomy ....................... 21  \n3 Research Perspective 27  \n3.1 Conceptual Framework and Econometric Issues ................ 27  \n3.2 Nonstationarity .................................. 29  \n3.3 Other Research Directions ............................ 30  \n3.4 Research Taxonomy ................................ 33  \n4 Data Issues 38  \n4.1 Data Requirements ................................ 39  \n4.2 Legal Entity Identi􀀌er Standards ........................ 39  \n4.3 Privacy vs. Transparency ............................. 45  \n5 Conclusions 46  \nAppendix 48  \nA Macroeco","cbCaioo5LZEWHWSU","https://ap.wps.com/l/cbCaioo5LZEWHWSU","pdf",3032900,165,"English","# Introduction\n# Supervisory Perspective\n## Trends in the Financial System\n## Policy Applications\n## The Lucas Critique and Systemic Risk Supervision\n## Supervisory Taxonomy\n## Event/Decision Horizon Taxonomy\n# Research Perspective\n## Conceptual Framework and Econometric Issues\n## Nonstationarity\n## Other Research Directions\n## Research Taxonomy\n# Data Issues\n## Data Requirements\n## Legal Entity Identifier Standards\n## Privacy vs. Transparency\n# Conclusions\n# Appendix","[{\"question\":\"What does the document survey cover about systemic risk analytics?\",\"answer\":\"It surveys 31 quantitative measures of systemic risk in economics and finance, emphasizing both measurement and management. It spans supervisory, research, and data perspectives.\"},{\"question\":\"How are the systemic risk measures presented in the document?\",\"answer\":\"Each measure is motivated in the main text and then defined concisely in an extensive appendix. The appendix specifies required inputs, expected outputs, and data requirements.\"},{\"question\":\"What supporting materials are provided to encourage experimentation?\",\"answer\":\"Open-source Matlab code is provided for most of the analytics surveyed. The code can be accessed through the Office of Financial Research.\"}]","A Survey of Systemic Risk Analytics - Working Paper 1 | PDF",416]