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Systemic Risk Indicator



Model Documentation

This document provides a technical description of the model and data used to compute the systemic risk indicator.

Related Research

  • Acharya, Viral, Robert F. Engle, and Matt Richardson. 2012. “Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks,” American Economic Review Papers and Proceedings, 102(3), 59-64.
  • Acharya, Viral, Lasse Pedersen, Thomas Philippon, and Matt Richardson. 2016. “Measuring Systemic Risk,” Review of Financial Studies, forthcoming.
  • Adrian, Tobias, and Markus K. Brunnermeier. 2016. “CoVaR,” American Economic Review, 106(7), 1705-41.
  • Bisias, Dimitrios, Mark Flood, Andrew Lo, and Stavros Valavanis. 2012. “A Survey of Systemic Risk Analytics,” Office of Financial Research Working Paper, (0001).
  • Brownlees, Christian, and Robert F. Engle. 2016. “SRISK: A Conditional Capital Shortfall Measure of Systemic Risk,” Review of Financial Studies, doi: 10.1093/rfs/hhw060.
  • Saldías, M. 2013. “Systemic Risk Analysis Using Forward-Looking Distance-to-Default Series,” Journal of Financial Stability, 9, 498-517.