Working Paper # 0001 January 5 , 2012 A Survey of Systemic Risk Analytics

By D. Bisias, Mark D. Flood, Andrew W. Lo, Stavros Athans Valavanis. 2012

750 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/52f09062275024f79e5dbab2a42e7223ff73711d

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Citations in the corpus

Systemic Risk and Stability in Financial Networks (2015, background): “22 See, for example, Bech, Chapman, and Garratt (2010); Bech and Atalay (2010); Akram and Christophersen (2010); Bisias et al. (2012); and Craig, Fecht, and Tümer-Alkan (2013). 23 In their numerical simulations, Soramäki and Cook (2013) make a similar observation and propose a measure of relative im”
Multi-Layered Interbank Model For Assessing Systemic Risk (2016, methodology): “In this respect, different measures of systemic risk have been developed, and a taxonomy of these measures is provided for example in Bisias et al (2012).”
TENET: Tail-Event driven NETwork risk (2016, methodology): “Further approaches include principal-component-based analysis, e.g. by Bisias et al. (2012), Rodriguez-Moreno and Peña (2013) and others; statistical modelling based on default probabilities by Lehar (2005), Huang et al. (2009), and others; graph theory and network topology, e.g. Boss et al.…”
Too Interconnected to Fail: A Survey of the Interbank Networks Literature (2015, methodology): “Bluhm et al. (2014b) include the fire sales model of Cifuentes et al.”
VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles (2015, methodology): “There exists many contributions, both theoretical and empirical, as summarized, for instance, in Brunnermeier and Oehmke (2012) or Bisias et al. (2012).”
Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy. (2012, background): “Bisias et al. (2012) survey most of the issues related to systemic risk and analyze 31 quantitative measures of systemic risk.”
The Concept of Systemic Risk (2014, background): “Reviews by Bisias et al. (2012) and by Oosterloo and de Haan (2003) conclude that definitions focus on different aspects of the phenomenon, i.e. imbalances, collapse of confidence, correlated exposures of financial institutions, negative impact on the real economy, information asymmetry, feedback…”
DStress: Efficient Differentially Private Computations on Distributed Data (2017, background): “Since this is a complex topic, we focus on the aspects that are most relevant to DStress; for more details, see [9, 13, 30].”
Assessing contagion risk from energy and non-energy commodity markets (2017, unknown): “2 See Bisias et al. (2012) for a comprehensive survey.”
Measuring systemic risk in the European banking sector: a copula CoVaR approach (2017, background): “An extensive survey of the main quantitative measures of systemic risk in the literature can be found in Bisias et al. (2012).”