We explore statistical commonalities among granular measures of market liquidity with the goal of illuminating systemwide patterns in aggregate liquidity. We calculate daily invariant price impacts described by Kyle and Obizhaeva [2014] to assemble a granular panel of liquidity measures for...

Stress testing, which has its roots in risk management, should be adapted to support financial stability monitoring and to incorporate the interconnections and dynamics of the financial system. Since the 2008 financial crisis, bank supervisors have honed their financial stability monitoring...

We consider the challenges and benefits of ontologies for information management for regulatory reporting from bank holding companies (BHCs). Many BHCs, especially the largest and most complex firms, have multiple federal supervisors who oversee a diverse array of subsidiaries. This creates a...

The Securities and Exchange Commission's Form PF is the implementation of Congress's post-crisis mandate for risk reporting by hedge funds to help protect investors and monitor systemic risk. We extend the methodology of Flood, Monin, and Bandyopadhyay [2015] to assess the risk measurement...

The National Science Foundation and The Pew Charitable Trusts co‐sponsored a Workshop on Knowledge Representation and Information Management for Financial Risk Management on July 21 and 22, 2010 in Arlington, Virginia (see Flood, Kyle and Raschid, 2010). The goal of the workshop was to...

We elucidate the tradeoffs between transparency and confidentiality in the context of financial regulation. The structure of information in financial contexts creates incentives with a pervasive effect on financial institutions and their relationships. This includes supervisory institutions,...

How can financial data be made more accessible and more secure, as well as more useful to regulators, market participants, and the public? As new data sets are created, opportunities emerge. Vast quantities of financial data may help identify emerging risks, enable market participants and...

We offer a tour d'horizon of the data management issues facing macroprudential supervisors. Traditional financial oversight has been very firm-centric, with strong respect for the boundaries of the firm. Even in this firm-oriented context, financial information has been expanding much faster...