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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

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

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

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

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

Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009006653

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

Persistent link: https://www.econbiz.de/10010515585

The information in systemic risk rankings

Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2015

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...

Persistent link: https://www.econbiz.de/10010532581

Network, market, and book-based systemic risk rankings

Leur, Michiel van de; Lucas, André - 2016

We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we first show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock...

Persistent link: https://www.econbiz.de/10011531142

Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

Persistent link: https://www.econbiz.de/10008771823