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This paper develops an extended financial stress measure that considers the supervisory objective of identifying risks to the stability of the financial system. The measure provides a continuous and bounded signal of financial stress using daily public market data. Broad coverage of material...
Persistent link: https://www.econbiz.de/10011402602
This paper builds on existing microprudential and macroprudential early warning systems (EWSs) to develop a new, hybrid class of models for systemic risk, incorporating the structural characteristics of the financial system and a feedback amplification mechanism. The models explain financial...
Persistent link: https://www.econbiz.de/10013118920
From the financial supervisor's point of view, an early warning system involves an ex-ante approach to regulation, targeting to predict and prevent crises. An efficient EWS allows timely ex-ante policy action and can reduce the need for ex-post regulation. This paper builds on existing...
Persistent link: https://www.econbiz.de/10013121249
From the financial supervisor's point of view, an early warning system involves an ex ante approach to regulation, targeted to predict and prevent crises. An efficient EWS allows timely ex ante policy action and can reduce the need for ex post regulation. This chapter builds on existing...
Persistent link: https://www.econbiz.de/10013083893
This paper builds on existing microprudential and macroprudential early warning systems (EWSs) to develop a new, hybrid class of models for systemic risk that incorporates the structural characteristics of the financial system and a feedback amplification mechanism. The models explain financial...
Persistent link: https://www.econbiz.de/10013083895