Library – By Author



Abbe, E., A. Khandani, and A. W. Lo, 2011 “Privacy Preserving Methods for Sharing Financial Risk Exposures,” working paper, MIT Laboratory for Financial Engineering.

Acharya, V., L. Pedersen, T. Philippon, and M. Richardson, 2010, “Measuring Systemic Risk,” working paper, New York University.

Adalid, R. and C. Detken, 2007, “Liquidity Shocks and Asset Price Boom/Bust Cycles,” ECB Working Paper 732, European Central Bank.

Adrian, T. and M. Brunnermeier, 2011, “CoVar,” Staff Report 348, Federal Reserve Bank of New York.

Adrian, T. and H. S. Shin, 2009, “The shadow banking system: implications for financial regulation,” Financial Stability Review, 19, 1-10.

Adrian, T. and H. S. Shin, 2010, “Liquidity and leverage,” Journal of Financial Intermediation, 19(3), 418-437.

Aikman, D., P. Alessandri, B. Eklund, P. Gai, S. Kapadia, E. Martin, N. Mora, G. Sterne, and M. Willison, 2010, “Funding Liquidity Risk in a Quantitative Model of Systemic Stability,” in Financial Stability, Monetary Policy, and Central Banking, ed. by R. A. Alfaro. Central Bank of Chile, 12th Annual Conference of the Central Bank of Chile, November 6-7, 2008.

Alessi, L., and C. Detken, 2009, “Real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity,” ECB Working Paper 1039, European Central Bank.

Alfaro, R., and M. Drehmann, 2009, “Macro stress tests and crises: what can we learn?,” BIS Quarterly Review, pp. 29–41.

Allen, F., and D. Gale, 2000, “Financial Contagion,” Journal of Political Economy, 108(1), 1–33.

Amihud, Y., 2002, “Illiquidity and stock returns: Cross-section and time-series effects,” Journal of Financial Markets, 5, 31–56.

Ang, A., and G. Bekaert, 2002, “International asset allocation with regime shifts,” Review of Financial Studies, 15(4), 1137–1187.

Ang, A., and J. Chen, 2002, “Asymmetric correlations of equity portfolios,” Journal of Financial Economics, 63(3), 443–494.

Aragon, G., and P. Strahan, 2012, “Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy,” Journal of Financial Economics, 103(3), 570–587.

Ashcraft, A., and T. Schuermann, 2008, “Understanding the Securitization of Subprime Mortgage Credit,” Federal Reserve Bank of New York Staff Reports 318, Federal Reserve Bank of New York.


Bank of England, 2009, “The Role of Macroprudential Policy,” Discussion paper, Bank of England.

Basel Committee on Banking Supervision, 2010, “Countercyclical capital buffer proposal,” Consultative document, Bank for International Settlements.

Basel Committee on Banking Supervision, 2011, “Global systemically important banks: Assessment methodology and the additional loss absorbency requirement,” Consultative document, Bank for International Settlements.

Basurto, M., and P. Padilla, 2006, “Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments,” IMF Working Paper WP/06/283, IMF.

Benston, G. J., and G. G. Kaufman, 1997, “FDICIA After Five Years,” The Journal of Economic Perspectives, 11(3), 139–158.

Bignon, V., M. Flandreau, and S. Ugolini, 2012, “Bagehot for beginners: The making of lending of last resort operations in the mid-19th century,” The Economic History Review, 65(2), 580–608.

Billio, M., and S. Di Sanzo, 2006, “Granger-causality in Markov switching models,” Dept. of Economics Research Paper Series 20WP, University Ca’ Foscari of Venice.

Billio, M., M. Getmansky, A. W. Lo, and L. Pelizzon, 2012, “Econometric measures of systemic risk in the finance and insurance sectors,” Journal of Financial Economics, 104(3), 535–559.

Bisias, D., M. Flood, A. W. Lo, and S. Valavanis, 2012, “A Survey of Systemic Risk Analytics,” Annual Reviews of Financial Economics, 4, 255-296

Black, F., and M. Scholes, 1973, “The pricing of options and corporate liabilities,” Journal of Political Economy, 81(3), 637–654.

Bollerslev, T., 1986, “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, 31(3), 307–327.

Boot, A., and A. Thakor, 1993, “Self-Interested Bank Regulation,” American Economic Review, 83(2), 206–212.

Bordo, M., 1990, “The Lender of Last Resort: Alternative Views and Historical Experience,” Federal Reserve Bank of Richmond Economic Review, 1990, 18–29.

Borio, C., 2009, “The macroprudential approach to regulation and supervision,” working paper,, 14 April 2009.

Borio, C., 2010, “Implementing a macroprudential framework: blending boldness and realism,” working paper, Bank for International Settlements, Keynote address for the BIS-HKMA research conference, Honk Kong SAR, 5-6 July 2010.

Borio, C., and M. Drehmann, 2009, “Towards an operational framework for financial stability: “Fuzzy” measurement and its consequences,” BIS Working Papers 284, Bank for International Settlements.

Borio, C., and M. Drehmann, 2009a, “Assessing the risk of banking crises – revisited,” BIS Quarterly Review, 2009(2), 29–46.

Borio, C., and P. Lowe, 2004, “Securing sustainable price stability: should credit come back from the wilderness?,” BIS Working Paper 157, Bank for International Settlements.

Bossaerts, P., 2009, “What Decision Neuroscience Teaches Us About Financial Decision Making,” Annual Review of Financial Economics, 1, 383–404.

Bottega, J. A., and L. F. Powell, 2010, “Creating a Linchpin for Financial Data: The Need for a Legal Entity Identifier,” working paper, Board of Governors of the Federal Reserve.

Bouchaud, J., J. D. Farmer, and F. Lillo, 2009, “How Markets Slowly Digest Changes in Supply and Demand,” in Handbook of Financial Markets: Dynamics and Evolution, ed. by H. Thorsten, and K. chenk Hoppe. Elsevier, New York.

Boyd, J., and M. Gertler, 1994, “Are Banks Dead? Or Are the Reports Greatly Exaggerated?,” Federal Reserve Bank of Minneapolis Quarterly Review, 18(3), 2–23.

Boyson, N. M., C. W. Stahel, and R. M. Stulz, 2010, “Hedge Fund Contagion and Liquidity Shocks,” Journal of Finance, 65(5), 1789–1816.

Breuer, T., M. Jandaˇcka, K. Rheinberger, and M. Summer, 2009, “How to Find Plausible, Severe and Useful Stress Scenarios,” International Journal of Central Banking, 5(3), 205–224, Bank for International Settlements.

Brown, C. O., and I. S. Din, 2011, “Too Many to Fail? Evidence of Regulatory Forbearance When the Banking Sector Is Weak,” Review of Financial Studies, 24(4), 1378–1405.

Brunnermeier, M., and L. Pedersen, 2009, “Market liquidity and funding liquidity,” Review of Financial Studies, 22(6), 2201–2238.

Brunnermeier, M. K., A. Crockett, C. A. Goodhart, A. D. Persaud, and H. S. Shin, 2009, “The Fundamental Principles of Financial Regulation,” Geneva Reports on the World Economy 11, International Center for Monetary and Banking Studies.

Brunnermeier, M. K., G. Gorton, and A. Krishnamurthy, 2010, “Risk Topography,” working paper, Princeton University.


Caballero, R. J., 2009, “The ’Other’ Imbalance and the Financial Crisis,” MIT Department of Economics Working Paper No. 09-32, Massachusetts Institute of Technology.

Capuano, C., 2008, “The option-iPoD. The Probability of Default Implied by Option Prices Based on Entropy,” IMF Working Paper 08/194, International Monetary Fund.

Caruana, J., 2010a, “Financial Stability: Ten Questions and about Seven Answers,” in Reserve Bank of Australia 50th Anniversary Symposium.

Caruana, J., 2010b, “Macroprudential policy: could it have been different this time?,” working paper, Bank for International Settlements, Peoples Bank of China seminar on macroprudential policy in cooperation with the International Monetary Fund: Shanghai, Monday 18 October 2010.

Chan, N., M. Getmansky, S. M. Haas, and A. W. Lo, 2006a, “Do Hedge Funds Increase Systemic Risk?,” Federal Reserve Bank of Atlanta Economic Review, 91(4), 49–80.

Chan, N., M. Getmansky, S. M. Haas, and A. W. Lo, 2006b, “Systemic risk and hedge funds,” in The Risks of Financial Institutions, ed. by M. Carey, and R. Stulz. University of Chicago Press, Chicago, IL, pp. 235–330.

Clement, P., 2010, “The term”macroprudential”: origins and evolution,” BIS Quarterly Review, 2010, 59–67.


De Bandt, O., and P. Hartmann, 2000, “Systemic Risk: A Survey,” Working Paper 35, European Central Bank.

Demirguc-Kunt, A., E. Kane, and L. Laeven, 2008, “Determinants of Deposit-Insurance Adoption and Design,” Journal of Financial Intermediation, 17(3), 407–438.

Duffie, D., 2011, “Systemic Risk Exposures A 10-by-10-by-10 Approach,” working paper, Stanford University.


Engle, R., 2002, “Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models,” Journal of Business and Economic Statistics, 20, 339–350.


Farmer, J. D., and D. Foley, 2009, “The economy needs agent-based modelling,” Nature, 460, 685–686.

Feldman, R., and M. Lueck, 2007, “Are Banks Really Dying This Time? An update of Boyd and Gertler,” The Region, 2007, 6–51.

Fender, I., and P. McGuire, 2010a, “Bank structure, funding risk and the transmission of shocks across countries: concepts and measurement,” BIS Quarterly Review, 2010, 63–79.

Fender, I., and P. McGuire, 2010b, “European banks’ U.S. dollar funding pressures,” BIS Quarterly Review, pp. 57–64.

Fielding, E., A. W. Lo, and J. H. Yang, 2011, “The National Transportation Safety Board: A Model for Systemic Risk Management,” Journal of Investment Management, 9, 18–50.

Financial Stability Board, 2009, “Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations,” Report to g20 finance ministers and governors, Financial Stability Board.

Financial Stability Board, 2011, “Shadow Banking: Scoping the Issues, A Background Note of the Financial Stability Board,” working paper, Financial Stability Board.

Financial Stability Board and International Monetary Fund, 2010, “The Financial Crisis and Information Gaps Progress Report Action Plans and Timetables,” working paper, FSB.

Flood, M., 1992, “The Great Deposit Insurance Debate,” Federal Reserve Bank of St. Louis Review, 74(4), 51–77.

Freixas, X., B. M. Parigi, and J.-C. Rochet, 2000, “Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank,” Journal of Money, Credit and Banking, 32(3), 611–638, What Should Central Banks Do? A conference sponsored by the Federal Reserve Bank of Cleveland, Oct. 27-29, 1999.

Freund, Y., and R. Shapire, 1996, “Experiments with a new boosting algorithm,” Proceedings of the Thirteenth International Conference on Machine Learning, pp. 148–156.


Geanakoplos, J., 2010, “Solving the Present Crisis and Managing the Leverage Cycle,” Federal Reserve Bank of New York Economic Policy Review, 16(1), 101–131.

Getmansky, M., A.W. Lo, and I. Makarov, 2004, “An econometric model of serial correlation and illiquidity in hedge fund returns,” Journal of Financial Economics, 74(3), 529–609.

Giesecke, K., and B. Kim, 2009, “Risk analysis of collateralized debt obligations,” Working Paper.

Glasserman, P., and J. Li, 2005, “Importance sampling for portfolio credit risk,” Management Science, 51, 1643–1656.

Gorton, G., and A. Metrick, 2010, “Regulating the Shadow Banking System,” Brookings Papers on Economic Activity, 2010, 261–312.

Gray, D., and A. Jobst, 2010, “Systemic CCA – A Model Approach to Systemic Risk,” working paper, International Monetary Fund, Paper presented at conference sponsored by the Deutsche Bundesbank and Technische Universitaet Dresden, 28-29 October 2010.

Group of Ten, 2001, “Report on Consolidation in the Financial Sector: Chapter III. Effects of consolidation on financial risk,” working paper, International Monetary Fund.


Hanson, S. G., A. K. Kashyap, and J. C. Stein, 2011, “A Macroprudential Approach to Financial Regulation,” Journal of Economic Perspectives, 25(1), 3–28.

Hirtle, B., T. Schuermann, and K. Stiroh, 2009, “Macroprudential Supervision of Financial Institutions: Lessons from the SCAP,” Staff Report No. 409, Federal Reserve Bank of New York.

Hu, X., J. Pan, and J. Wang, 2010, “Noise as Information for Illiquidity,” working paper, Massachusetts Institute of Technology.

Huang, X., H. Zhou, and H. Zhu, 2009a, “Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks During the Recent Financial Crisis,” Federal Reserve Board Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve.

Huang, X., H. Zhou, and H. Zhu, 2009b, “A framework for assessing the systemic risk of major financial institutions,” working paper, University of Oklahoma.

Huizinga, H., and L. Laeven, 2010, “Bank Valuation and Regulatory Forbearance During a Financial Crisis,” working paper, Centre for Economic Policy Research (CEPR). Hull, J., 2000, Options, Futures, and Other Derivatives. Prentice-Hall, Upper Saddle River, NJ.


International Monetary Fund, 2009a, “Assessing the Systemic Implications of Financial Linkages,” Global Financial Stability Review, Apr09, 73–110.

International Monetary Fund, 2009b, “Global Financial Stability Report: Responding to the Financial Crisis and Measuring Systemic Risks,” working paper, IMF.

International Monetary Fund, 2011, “Global Financial Stability Report: Grappling with Crisis Legacies,” working paper, IMF.


Kahneman, D., and A. Tversky, 1979, “Prospect Theory: An Analysis of Decision Under Risk,” Econometrica, 47, 263–291.

Kaminsky, G., S. Lizondo, and C. Reinhart, 1998, “Leading indicators of currency crisis,” IMF Staff Paper, 1.

Kapadia, S., M. Drehmann, J. Elliott, and G. Sterne, 2009, “Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks,” working paper, Bank of England.

Khandani, A. E., A. J. Kim, and A. W. Lo, 2010, “Consumer Credit Risk Models via Machine-Learning Algorithms,” Journal of Banking and Finance, 34(11), 2767–2787.

Khandani, A. E., and A. W. Lo, 2007, “What happened to the quants in August 2007?,” Journal of Investment Management, 5(4), 5–54.

Khandani, A. E., and A. W. Lo, 2011, “What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data,” Journal of Financial Markets, 14(1), 1–46.

Khandani, A. E., A. W. Lo, and R. C. Merton, 2009, “Systemic Risk and the Refinancing Ratchet Effect,” Journal of Financial Economics, 108(1), 29–45.

King, M. R., and P. Maier, 2009, “Hedge Funds and Financial Stability: Regulating Prime Brokers Will Mitigate Systemic Risks,” Journal of Financial Stability, 5(3), 283–297.

Kocherlakota, N., 2010, “Modern Macroeconomic Models as Tools for Economic Policy,” The Region, (May), 5–21.

Koenker, R., and K. Hallock, 2001, “Quantile regression,” Journal of Economic Perspectives, 15, 143–156.

Kritzman, M., and Y. Li, 2010, “Skulls, Financial Turbulence, and Risk Management,” Financial Analysts Journal, 66(5), 30–41.

Kritzman, M., Y. Li, S. Page, and R. Rigobon, 2010, “Principal Components as a Measure of Systemic Risk,” Revere Street Working Paper Series: Financial Economics 272-28, Revere Street Working Paper Series.

Kullback, S., and R. Leibler, 1951, “On information and sufficiency,” The Annals of Mathematical Statistics, 22, 449–470.

Kyle, A., 1985, “Continuous auctions and insider trading,” Econometrica, 53, 1315–1335.,%201985,%20Continuous%20Auctions%20and%20Insider%20Trading.pdf


Laux, C., and C. Leuz, 2010, “Did Fair-Value Accounting Contribute to the Financial Crisis?,” Journal of Economic Perspectives, 24(1), 93–118.

Lee, S., 2010, “Measuring systemic funding liquidity risk in the interbank foreign currency ending market,” Working Paper 418, Bank of Korea Institute for Monetary and Economic Research.

Lerner, J., 2002, “Where Does State Street Lead?: A First Look at Financial Patents, 1971–2000,” Journal of Finance, 57, 901–930.

Ljung, G., and G. Box, 1978, “On a measure of lack of fit in time series models,” Biometrika, 65, 297–303.

Lo, A. W., 2011, “Fear, Greed, and Financial Crises: A Cognitive Neurosciences Perspective,” in Handbook on Systemic Risk, ed. by J. Fouque, and J. Langsam. Cambridge University Press, Cambridge, UK.

Lo, A. W., and C. MacKinlay, 1988, “Stock market prices do not follow random walks: Evidence from a simple specification test,” Review of Financial Studies, 1, 41–66.

Lo, A. W., and C. MacKinlay, 1990a, “When are contrarian profits due to stock market overreaction?,” Review of Financial Studies, 3, 175–205.

Longstaff, F., 2004, “The flight-to-liquidity premium in U.S. Treasury bond prices,” Journal of Business, 77, 511–525.

Loutskina, E., and P. E. Strahan, 2009, “Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Originations,” Journal of Finance, 64(2), 861–889.

Lucas, R. E., 1976, “Econometric Policy Evaluation: A Critique,” in The Phillips Curve and Labor Markets: Carnegie-Rochester Conference Series on Public Policy 1, ed. by K. Brunner, and A. Meltzer. Elsevier, New York, pp. 19–46.


Mayhew, S., 1995, “Implied volatility,” Financial Analysts Journal, 51(4), 8–20.

McCulley, P., 2010, “After the Crisis: Planning a New Financial Structure,” Global central bank focus, PIMCO, Based on Comments Before the 19th Annual Hyman Minsky Conference on the State of the U.S. and World Economies, April 15, 2010.

Merton, P., 1937, “On the generalised distance in statistics,” Proceedings of the National Institute of Sciences in India, 2(1), 49–55.

Merton, R., 1973, “Theory of rational option pricing,” Journal of Economics and Management Science, 4, 141–183.

Merton, R., and Z. Bodie, 1993, “Deposit Insurance Reform: A Functional Approach,” Carnegie-Rochester Conference Series on Public Policy, 38, 1–34.

Mishkin, F. S., 2007, “Systemic Risk and the International Lender of Last Resort,” working paper, Board of Governors of the Federal Reserve, Speech delivered at the Tenth Annual International Banking Conference, Federal Reserve Bank of Chicago, September 28, 2007.

Moussa, A., 2011, “Contagion and Systemic Risk in Financial Networks,” Ph.D. thesis, Columbia University.


Nier, E., J. Yang, T. Yorulmazer, and A. Alentorn, 2008, “Network models and financial stability,” Working Paper 346, Bank of England.

Nijskens, R., and W. Wagner, 2011, “Credit Risk Transfer Activities and Systemic Risk: How Banks Became Less Risky Individually But Posed Greater Risks to the Financial System at the Same Time,” Journal of Banking & Finance, 35(6), 1391-1398.


Office of Financial Research, 2010, “Statement on Legal Entity Identification for Financial Contracts,” Federal Register, 75(229), 74146–74148, 30 November 2010.

Office of Financial Research, 2011, “Office of Financial Research Issues Statement on Progress to Date and Next Steps Forward in the Global Initiative to Establish a Legal Entity Identifier (LEI),,” Press release, OFR, 12 August 2011.


Pastor, L., and R. Stambaugh, 2003, “Liquidity risk and expected stock returns,” Journal of Political Economy, 111, 642–685.

Peltzman, S., 1975, “The Effects of Automobile Safety Regulation,” Journal of Political Economy, 83, 677–725.

Pojarliev, M., and R. M. Levich, 2008, “Do professional currency managers beat the benchmark?,” Financial Analysts Journal, 64(5), 18–32.

Pojarliev, M., and R. M. Levich, 2011, “Detecting Crowded Trades in Currency Funds,” Financial Analysts Journal, 67(1), 26–39.

Pozsar, Z., T. Adrian, A. Ashcraft, and H. Boesky, 2010, “Shadow Banking,” Staff Reports 458, Federal Reserve Bank of New York.


Reinhart, C. M., and K. Rogoff, 2008, “This Time is Different: A Panoramic View of Eight Centuries of Financial Crises,” NBER Working Paper 13882, NBER.

Ricks, M., 2010, “Shadow Banking and Financial Regulation,” Columbia law and economics working paper no. 370, Harvard Law School.

Rochet, J.-C., and X. Vives, 2004, “Coordination Failures and the Lender of Last Resort: Was Bagehot Right after All?,” Journal of the European Economic Association, 2(6), 1116–1147.

Rosengren, E. S., 2010, “Asset Bubbles and Systemic Risk,” working paper, Federal Reserve Bank of Boston, Speech delivered at the Global Interdependence Center’s Conference on “Financial Interdependence in the World’s Post-Crisis Capital Markets”, Philadelphia, March 3, 2010.


Sapra, H., 2008, “Do accounting measurement regimes matter? A discussion of mark-to-market accounting and liquidity pricing,” Journal of Accounting and Economics, 45(2-3), 379–387.

Schwarz, G., 1978, “Estimating the dimension of a model,” Annals of Statistics, 6(2), 461–464.

Segoviano, M., 2006, “The consistent information multivariate density optimizing methodology,” Financial Markets Group Discussion Paper 557, London School of Economics.

Segoviano, M. A., and C. Goodhart, 2009, “Banking stability measures,” Financial Markets Group, Discussion paper 627, London School of Economics and Political Science.

Svennson, L., 1994, “Estimating and interpreting forward interest rates: Sweden 1992–1994,” NBER Working Paper 4871, National Bureau of Economic Research.


Tarashev, N., and H. Zhu, 2008, “Specification and calibration errors in measure of portfolio credit risk: The case of the ASRF model,” Interational Journal of Central Banking, 4, 129–174.


Upper, C., 2007, “Using counterfactual simulations to assess the danger of contagion in interbank markets,” BIS Working Paper 234, Bank for International Settlements.


Valukas, A., 2010, “Report of Anton R. Valukas, Examiner: Volume 3 Of 9, Section III.A.4: Repo 105,” working paper, United States Bankruptcy Court Southern District Of New York, In Re Lehman Brothers Holdings Inc., et al., Debtors. Chapter 11 Case No. 08-13555.

Vasicek, O., 1991, “Limiting loan loss probability distribution,” KMV working paper, KMV.