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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/10010325790
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
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/10009006653
Persistent link: https://www.econbiz.de/10010233247
Persistent link: https://www.econbiz.de/10008771823
This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries, industries, and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components in corporate defaults in a 41 country sample...
Persistent link: https://www.econbiz.de/10010484886
Persistent link: https://www.econbiz.de/10010488563
Persistent link: https://www.econbiz.de/10010515585
Persistent link: https://www.econbiz.de/10011689783
We investigate the dynamic properties of systematic default risk conditions for firms in different countries, industries and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components in corporate defaults in a 41 country sample between...
Persistent link: https://www.econbiz.de/10011618479