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An Analytic Environment for Systemic Risk: Risk Modeling Support for Financial Policy Makers
January 2012
Charles A. Worrell, The MITRE Corporation
ABSTRACT
Systemic risk in the U.S. financial system has
drawn the attention of leaders in government and business alike.
The abundance of systemic risk measures and risk models has
added to the complex task of understanding, discussing, and
acting on the implications of that risk. Tools that assist decision
makers to interpret risk measures, and recognize their
underlying assumptions may lead to deeper understanding and
more effective discussion. This paper describes some initial
considerations for building an integrated modeling and analysis
environment to aid in assessing complex financial data. The
modeling environment is engineered to support execution of
quantitative models including agent based and network models
against equivalent scenarios of economic conditions. The
environment provides tools to compare and visualize model
outputs, and to allow decision makers to maintain traceability
from model outputs back to their underlying assumptions. This
capability may facilitate the operation of a modeling forum
where disparate teams of analysts can collaborate to provide
insights into the nation’s exposure to systemic financial risk.
Additional Search Keywords
Computational modeling, Computer simulation, Interconnected systems, Multilevel systems, Communication effectiveness
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