Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Statistics & Risk Modeling

with Applications in Finance and Insurance

Editor-in-Chief: Stelzer, Robert


Cite Score 2018: 0.85

SCImago Journal Rank (SJR) 2018: 0.354
Source Normalized Impact per Paper (SNIP) 2018: 0.604

Mathematical Citation Quotient (MCQ) 2018: 0.36

Online
ISSN
2196-7040
See all formats and pricing
More options …
Volume 34, Issue 3-4

Issues

Special Issue: Monitoring Systemic Risk: Data, Models and Metrics

Rama Cont / Michael Gordy
Published Online: 2017-02-04 | DOI: https://doi.org/10.1515/strm-2016-0024

The financial crisis of 2007–2009 has underlined the importance of interconnectedness among financial institutions and markets [1], the insufficiency of monitoring the balance sheet of individual financial institutions in isolation, and the necessity of adopting a system-wide view of financial stability. In the wake of the crisis, regulators have sought well-grounded and forward-looking indicators for monitoring the development of systemic risks in the financial system. The construction and interpretation of indicators and the identification and collection of relevant data for computing such indicators have proven to be major and ongoing challenges.

The design of indicators for monitoring systemic risk requires the prior identification of contagion mechanisms and calls for an interplay between theory and empirical research. Many researchers have attempted to tackle the challenge of understanding the mechanisms underlying systemic risk. This two-part special issue grew out of a one-week workshop on Monitoring Systemic Risk: Data, Models and Metrics, organized by Rama Cont (Imperial College), Michael Gordy (Federal Reserve Board) and Christian Gourieroux (CREST and University of Toronto). The workshop, held in September 2014, was hosted by the Isaac Newton Institute of Mathematical Sciences (Cambridge, UK) as part of a semester-long program on “Systemic Mathematical modelling and interdisciplinary approaches” (www.newton.ac.uk/event/syr). The workshop gathered together more than 100 researchers from various disciplines – mathematical finance, economics, econometrics and operations research – together with regulators, central bankers and industry risk professionals, to discuss how mathematical modeling may contribute to the modeling and monitoring of systemic risk.

Further material and video recordings of all lectures are available for download from the website of the workshop at www.newton.ac.uk/event/syrw02.

The contributions to this Special Issue underline some key issues that arose during the discussions at the workshop: estimation and validation of risk measures for capital adequacy, models of interconnectedness and centrality in banking networks, fire sales spillovers and portfolio overlaps.

We thank the Isaac Newton Institute of Mathematical Sciences (Cambridge) for hosting and supporting the workshop and Old Mutual for its financial support of the program “Systemic Risk: Mathematical Modeling and Interdisciplinary Approaches”.

References

About the article

Published Online: 2017-02-04

Published in Print: 2017-09-01


Citation Information: Statistics & Risk Modeling, Volume 34, Issue 3-4, Pages 89–89, ISSN (Online) 2196-7040, ISSN (Print) 2193-1402, DOI: https://doi.org/10.1515/strm-2016-0024.

Export Citation

© 2017 Walter de Gruyter GmbH, Berlin/Boston.Get Permission

Comments (0)

Please log in or register to comment.
Log in