US Treasury’s research arm revamps systemic risk models

New approach from OFR relies on separate measures of stress and vulnerability

Financial model
Model-makers: OFR has introduced two new systemic risk models

The US Treasury’s Office of Financial Research is re-engineering the models it uses for monitoring systemic risk to better pinpoint sources of vulnerability and stress in the financial system.

Two new measures – the Financial System Vulnerabilities Monitor (FSVM) and Financial Stress Index (FSI) – will replace the Financial Stability Monitor, which has informed the OFR’s systemic risk assessments since 2014.

The Financial Stability Monitor made no attempt to separate vulnerability and stress,

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