Post on 22-Dec-2015
Progress and Roadmap for Systemic Risk Dashboard
J. Helen Yang
Charles River Development
Laboratory of Financial Engineering, MIT
CSRA, December 15, 2014
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AgendaWhat it is aboutWhat we have doneWhat is ahead
Motivation: gauges of systemic risk
A meaningful gauge
Constructing the gauges
C1 C2 V1 V2L1Individual live analytics
Original research
L2
C1 C2 V1 V2L1 L2
Granger causality – Cumulative risk fraction
Original paper
Dashboard live analytics
1997
2008
2013
A Survey of Systemic Risk Analytics
Source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2170926
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Demo
Riskdash.herokuapp.com
Multi-tier client/server architecture
WRDS BIS TASS/CS
Raw data (flat files or DB)
Algorithms (Matlab/Python)
Analytics data (flat files or
PostGreSQL)
Heroku App server
Web based UI
Step 1: Reproduce
Step 2: Automate
Step 3: Display
Challenges and opportunities“Business model” not scalable
Natural turnover is highData access and manipulationLimitation in reproducing the algorithms
AutomationData sources lack API supportData manipulation hard to automate
Partner with researchersBecome a platform for publishing live analytics
Open architecture for collaboration
WRDS BIS TASS/CS
Raw data
Algorithms
Analytics data
Website display
Researchers
Other notable projects…S&P Case-Shiller home index
Case Shiller Weiss, Inc founded in 1991 S&P publishes Composite 10/20 monthly
VIX index Paper by Brenner and Galai in 1989 In 1993, CBOE started to compute VIX real-time
Yale Investor Behavior Project (Robert Shiller)
Stock market confidence index
NYU Volatility Institute (Robert Engle) V-Lab
Our project is different
RoadmapContinue to develop live analytics Call for researchers to partner with Category level gauges
Which analytics drive each gauge?Thresholds for green/yellow/red
Automation
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Thank you
The project team:Andrew Lo, Roger Stein, Helen Yang, Tom Hughes, 2014-15: Ray Weng, Carissa Sun, Anish Punjabi, 2013-14: Hanwen Xu, Ayesha Bose
Administrative assistance: Jayna Cummings, Patsy Thompson