Traditionally, financial crisis Early Warning Systems (EWSs) have relied on macroeconomic leading indicators when forecasting the occurrence of such events. This paper extends such discrete-choice EWSs by taking the persistence of the crisis phenomenon into account. The dynamic logit EWS is...

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the...

This paper proposes an original and unified toolbox to evaluate financial crisis early-warning systems (EWS). It presents four main advantages. First, it is a model free method which can be used to assess the forecasts issued from different EWS (probit, logit, Markov switching models, or...