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Handbook on Systemic Risk by Joseph A. Langsam, Jean-Pierre Fouque

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2

Aligning Models and Data for Systemic Risk Analysis

Roger M. Stein

Abstract The recent financial crisis has brought to the fore issues of quantifying and reducing systemic risk. This focus has precipitated the exploration of various methods for measuring systemic risks and for attributing systemic risk contributions to systemically important financial institutions. Concomitant with this stream of research are efforts to collect, standardize and store data useful to these modeling efforts. While discussions of modeling approaches are pervasive in the literature on systemic risk, issues of data requirements and suitability are often relegated to the status of implementation details. This short chapter is an attempt to deepen this discussion. ...

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