Oet, Mikhail V.; Dooley, John M.; Janosko, Amanda C.; … - In: Risks : open access journal 3 (2015) 3, pp. 365-389
to the stability of the financial system. The measure provides a continuous and bounded signal of financial stress using … daily public market data. Broad coverage of material financial system markets over time is achieved by leveraging dynamic … credit weights. We consider how this measure can be used to monitor, analyze, and alert financial system stress. …