j. helen yang charles river development laboratory of financial engineering, mit csra, december 15,...
TRANSCRIPT
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