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Research capacity is critical in understanding systemic risk and informingnew regulation. Banking regulation has not kept pace with all the complexitiesof financial innovation. The academic literature on systemic risk is rapidlyexpanding. The majority of papers analyse a single source or a consolidatedsource of risk and its effect. A fraction of publications quantify systemicrisk measures or formulate penalties for systemically important financialinstitutions that are of practical regulatory relevance. The challenges facingsystemic risk evaluation and regulation still persist, as the definition ofsystemic risk is somewhat unsettled and that affects attempts to providesolutions. Our understanding of systemic risk is evolving and the awareness ofdata relevance is rising gradually; this challenge is reflected in the focus ofmajor international research initiatives. There is a consensus that the directand indirect costs of a systemic crisis are enormous as opposed to preventingit, and that without regulation the externalities will not be prevented; butthere is no consensus yet on the extent and detail of regulation, and researchexpectations are to facilitate the regulatory process. This report outlines anintegrated approach for systemic risk evaluation based on multiple types ofinterbank exposures through innovative modelling approaches as tensorialmultilayer networks, suggests how to relate underlying economic data and how toextend the network to cover financial market information. We reason about datarequirements and time scale effects, and outline a multi-model hypernetwork ofsystemic risk knowledge as a scenario analysis and policy support tool. Theargument is that logical steps forward would incorporate the range of risksources and their interrelated effects as contributions towards an overallsystemic risk indicator, would perform an integral analysis of ...

Systemic Risk Identification, Modelling, Analysis, and Monitoring: An Integrated Approach