Technical Capabilities Necessary for Regulation of Systemic Financial Risk
Summary of a Workshop
Robert F. Engle, New York University
Scott T. Weidman, National Research Council
THE NATIONAL ACADEMIES PRESS
THE NATIONAL ACADEMIES PRESS
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NOTICE: The project that is the subject of this report was approved by the Governing Board of the National Research Council, whose members are drawn from the councils of the National Academy of Sciences, the National Academy of Engineering, and the Institute of Medicine.
This study was supported by a grant from the Alfred P. Sloan Foundation. The views expressed in this publication are those of the authors and do not necessarily reflect the views of the Alfred P. Sloan Foundation.
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Board on Mathematical Sciences and Their Applications
C. DAVID LEVERMORE,
University of Maryland, Chair
TANYA STYBLO BEDER,
PHILIP A. BERNSTEIN,
PATRICIA FLATLEY BRENNAN,
University of Wisconsin-Madison
EMERY N. BROWN,
Massachusetts General Hospital
GERALD G. BROWN,
U.S. Naval Postgraduate School
RICARDO J. CABALLERO,
Massachusetts Institute of Technology
GUNNAR E. CARLSSON,
BRENDA L. DIETRICH,
IBM Thomas J. Watson Research Center
Allstate Insurance Company
SUSAN J. FRIEDLANDER,
University of Southern California
PETER WILCOX JONES,
KENNETH L. JUDD,
CHARLES M. LUCAS,
Osprey Point Consulting
VIJAYAN N. NAIR,
University of Michigan
CLAUDIA M. NEUHAUSER,
University of Minnesota
J. TINSLEY ODEN,
University of Texas at Austin
DONALD G. SAARI,
University of California at Irvine
Case Western Reserve University
University of California at San Diego
SCOTT T. WEIDMAN, Director
NEAL D. GLASSMAN, Senior Program Officer
BARBARA W. WRIGHT, Administrative Assistant
For more information on BMSA, see its Web site at http://sites.nationalacademies.org/DEPS/BMSA/index.htm, write to BMSA, National Research Council, 500 Fifth Street, N.W., Washington, DC 20001, or call (202) 334-2421.
Sincere appreciation is extended to the Alfred P. Sloan Foundation for sponsoring the workshop that is summarized in this report and the preparation of this document.
This report has been reviewed in draft form by individuals chosen for their diverse perspectives and technical expertise, in accordance with procedures approved by the National Research Council’s Report Review Committee. The purpose of this independent review is to provide candid and critical comments that will assist the institution in making its published report as sound as possible and to ensure that the report meets institutional standards for objectivity, evidence, and responsiveness to the study charge. The review comments and draft manuscript remain confidential to protect the integrity of the deliberative process. We wish to thank the following individuals for their review of this report:
Christine Cumming, Federal Reserve Bank of New York,
Darrell Duffie, Stanford University,
Andrew Haldane, Bank of England,
Arvind Krishnamurthy, Northwestern University,
David Rowe, SunGard,
Charles Taylor, The Pew Charitable Trusts.
Although the reviewers listed above have provided many constructive comments and suggestions, they were not asked to endorse the conclusions or recommendations, nor did they see the final draft of the report before its release. The review of this report was overseen by Peter Bickel of the University of California at Berkeley. Appointed by the National Research Council, he was responsible for making certain that an independent examination of this report was carried out in accordance with institutional procedures and that all review comments were carefully considered. Responsibility for the final content of this report rests entirely with the rapporteurs and the institution.