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Gary Gorton on Measures of Systemic Risk

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Published on Jul 21, 2011

In a recent working paper, Gary B. Gorton, Frederick Frank Class of 1954 Professor of Management and Finance, and two collaborators propose a system for gathering and disseminating measures of risk in the economy. In "Risk Topography," Gorton, Markus K. Brunnermeier, and Arvind Krishnamurthy say that the financial crisis of 2007--2008 made it clear that the current systems of national income reporting, developed in response to the Great Depression, are insufficient for understanding a financial system that includes derivatives and off-balance sheet vehicles. They propose that the new Office of Financial Research, created by the Dodd-Frank Wall Street Reform and Consumer Protection Act, collect information from financial institutions about the effects on their stability of various extreme scenarios

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