Searching for a Metric for Financial Stability
We propose a metric of financial stability that is a weighted average of the probability of default and the equity of each country. The weights are obtained in the VAR and must reflect that the welfare changes due to financial instability are produced primarily through changes of the probability of default and secondarily through changes of the equity value. The metric is based on the definition of financial instability suggested by Tsomocos (2003 a and b) and Goodhart, Sunirand and Tsomocos (2006).
Year of publication: |
2006
|
---|---|
Authors: | Aspachs, O. ; Goodhart, C. ; Segoviano, M. ; Tsomocos, D. ; Zicchino, L. |
Institutions: | Finance Research Centre, Oxford University |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Searching for a metric of financial stability
Aspachs, O., (2006)
-
On the Equivalence of Floating and Fixed-Strike Asian Options
Henderson, Vicky, (2001)
-
The Seven Percent Solution? An International Perspective on Underwriting Spreads
Ljungqvist, Alexander P., (1999)
- More ...