Allen, Linda; Bali, Turan G.; Tang, Yi - In: Review of Financial Studies 25, 10, pp. 3000-3036
We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with U.S., European, and Asian bank data. Consistent with bank...
