  Research capacity is critical in understanding systemic risk and informing
new regulation. Banking regulation has not kept pace with all the complexities
of financial innovation. The academic literature on systemic risk is rapidly
expanding. The majority of papers analyse a single source or a consolidated
source of risk and its effect. A fraction of publications quantify systemic
risk measures or formulate penalties for systemically important financial
institutions that are of practical regulatory relevance. The challenges facing
systemic risk evaluation and regulation still persist, as the definition of
systemic risk is somewhat unsettled and that affects attempts to provide
solutions. Our understanding of systemic risk is evolving and the awareness of
data relevance is rising gradually; this challenge is reflected in the focus of
major international research initiatives. There is a consensus that the direct
and indirect costs of a systemic crisis are enormous as opposed to preventing
it, and that without regulation the externalities will not be prevented; but
there is no consensus yet on the extent and detail of regulation, and research
expectations are to facilitate the regulatory process. This report outlines an
integrated approach for systemic risk evaluation based on multiple types of
interbank exposures through innovative modelling approaches as tensorial
multilayer networks, suggests how to relate underlying economic data and how to
extend the network to cover financial market information. We reason about data
requirements and time scale effects, and outline a multi-model hypernetwork of
systemic risk knowledge as a scenario analysis and policy support tool. The
argument is that logical steps forward would incorporate the range of risk
sources and their interrelated effects as contributions towards an overall
systemic risk indicator, would perform an integral analysis of ...
