Research


Open-Source Software for “A Survey of Systemic Risk Analytics”

with Dimitrios Bisias, Mark Flood, and Stavros Valavanis

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A Survey of Systemic Risk Analytics

with Dimitrios Bisias, Mark Flood, and Stavros Valavanis, Annual Review of Financial Economics 4, 255-296

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Do Labyrinthine Legal Limits on Leverage Lessen the Likelihood of Losses?

with Thomas J. Brennan, Texas Law Review 90 (2012), 1775-1810.

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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

with Monica Billio, Mila Getmansky, and Loriana Pelizzon, Journal of Financial Economics 104 (2012), 535-559.

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Privacy-Preserving Methods for Sharing Financial Risk Exposures

with Emmanuel A. Abbe and Amir E. Khandani, American Economic Review: Papers & Proceedings 102 (2012), 65-70.

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The FTSE StableRisk Indices

with Jeremiah Chafkin and Robert Sinnott, Journal of Index Investing 2(2011), 12–35.

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Managing real-time risks and returns: The Thomson Reuters NewsScope Event Indices

with Alexander D. Healy, The Handbook of News Analytics in Finance

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Reading About the Financial Crisis: A Twenty-One-Book Review

Journal of Economic Literature 50 (2012), 151-178.

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Measuring Systemic Risk in the Finance and Insurance Sectors

with Monica Billio, Mila Getmansky, and Loriana Pelizzon

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What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

with Amir Khandani, Journal of Financial Markets 14 (2011), 1-46.

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