Measuring financial stress is a key research issue that has gained a lot of interest in the years following the extreme events from 2007. Although a lot of models were used for assessing and measuring financial stress, none of the managed to forecast the global crisis from 2007. We can identify...

Financial crisis have become a main topic of researchers, especially after the recent global crisis started in 2007. Although the topic is highly relevant for current research, crisis models widely used were not able to predict the big crash. In the present paper we focus on surveying the...

In this paper we construct and estimate a country-specific macroeconometric risk driver engine which is compatible to the GVAR model and framework developed by Pesaran, Schuermann and Weiner, methodology that makes use of cointegration techniques to link the cyclical or systematic components of...