Research


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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The National Transportation Safety Board: A Model for Systemic Risk Management

with Eric Fielding and Jian Helen Yang, Journal of Investment Management 9 (2011), 17-49.

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Complexity, Concentration and Contagion: A Comment

Journal of Monetary Economics 58 (2011), 471-479

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The Financial Industry Needs its Own Crash Safety Board

The Financial Times

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WARNING!: Physics Envy May Be Hazardous To Your Wealth

with Mark Mueller, Journal of Investment Management 8 (2010), 13-63.

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Consumer Credit Risk Models via Machine-Learning Algorithms

with Amir E. Khandani and Adlar J. Kim, Journal of Banking & Finance 34 (2010), 2767-2787.

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The Feasibility of Systemic Risk Measurement

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Regulatory Reform in the Wake of the Financial Crisis of 2007-2008

Journal of Financial Economic Policy 1 (2009), 4-43

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MIT Roundtable on Corporate Risk Management

with Judy Lewent; Donald Lessard; Lakshmi Shyam-Sunder. Moderated by Robert Merton, Journal of Applied Corporate Finance 20, 3–25.

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