The Basel Committee and the Financial Stability Board require a consensus on the identification of characteristics that make a financial institution more prone to be severely hit by systemic shocks. This paper introduces a model for the Conditional Average Systemic Effects (CASE) that can be...

This article reviews some recent advances in testing for serial correlation, provides Stata code for implementation and illustrates its application to market risk forecast evaluation. The classical and widely used Portamenteau tests and their data-driven versions are the focus of this article....