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Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a … dependence after the Greek default in winter 2012, which can be explained economically by a change in bank regulation. …
Persistent link: https://www.econbiz.de/10010491085
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Systemic risk diagnostics
Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010
A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...
Persistent link: https://www.econbiz.de/10011382067
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Do negative interest rates make banks less safe?
Nucera, Federico; Lucas, André; Schaumburg, Julia; … - 2017
We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis ('SRisk'). We find that the risk impact of negative rates is moderate, and depends on banks' business models: Banks with diversified income streams are...
Persistent link: https://www.econbiz.de/10011719935
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Do negative interest rates make banks less safe?
Nucera, Federico; Lucas, André; Schaumburg, Julia; … - 2017
We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis (`SRisk'). We find that the risk impact of negative rates depends on banks' business models: Large banks with diversified income streams are perceived as...
Persistent link: https://www.econbiz.de/10011642197
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model … study the information theoretic optimality of the updating steps for the time-varying spatial dependence parameter. We adopt … the model to empirically investigate the spatial dependence between eight European sovereign CDS spreads over the period …
Persistent link: https://www.econbiz.de/10010391531
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Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads
Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016
We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...
Persistent link: https://www.econbiz.de/10011531096
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Nowcasting and forecasting global financial sector stress and credit market dislocation
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: International Journal of Forecasting 30 (2014) 3, pp. 741-758
We introduce a new international model for the systematic distress risk of financial institutions from the US, the European Union, and the Asia-Pacific region. Our proposed dynamic factor model can be represented as a nonlinear, non-Gaussian state space model with parameters that we estimate...
Persistent link: https://www.econbiz.de/10010786460
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Systemic risk diagnostics: coincident indicators and early warning signals
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011
We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...
Persistent link: https://www.econbiz.de/10011605373
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Systemic risk diagnostics: coincident indicators and early warning signals
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - European Central Bank - 2011
We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...
Persistent link: https://www.econbiz.de/10008917864
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Systemic Risk Diagnostics : Coincident Indicators and Early Warning Signals
Schwaab, Bernd - 2010
A macro-prudential policy maker can manage risks to financial stability only if current and future risks can be reliably assessed. We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and...
Persistent link: https://www.econbiz.de/10013135514