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Systemic event prediction by early warning system
Zigraiova, Diana; Jakubík, Petr - 2014
This work develops an early warning system framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs, over the short horizon of six quarters and the long horizon of twelve quarters on the panel of 14...
Persistent link: https://www.econbiz.de/10010234040
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An entropy-based early warning indicator for systemic risk
Billio, Monica; Casarin, Roberto; Costola, Michele; … - 2015
Persistent link: https://www.econbiz.de/10011629540
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Constructing early warning indicators for banks using machine learning models
Tarkocin, Coskun; Donduran, Murat - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10014445630
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Early warning systems for banking crisis and sovereign risk
Străchinaru, Adina-Ionela - In: Journal of financial studies & research : JFSR 2022 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013172721
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The challenge of predicting currency crises : how do definition and probability threshold choice make a difference?
Emin, Dogus; Aytac, Aysegul - In: Eurasian economic review : a journal in applied … 6 (2016) 2, pp. 195-213
Persistent link: https://www.econbiz.de/10011587641
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Constructing a composite indicator to assess cyclical systemic risks : an early warning approach
Koponen, Heidi - 2024
The main contribution of this paper is the construction of a cyclical systemic risk indicator from early warning ….2). The indicator warns of an approaching crisis well beforehand and the precrisis level of the indicator seems to correlate … with the severity of the crisis. The study also examines the impact and relative importance of individual EWIs within the …
Persistent link: https://www.econbiz.de/10014526680
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What predicts financial (in)stability? : a Bayesian approach
Eidenberger, Judith; Neudorfer, Benjamin; Sigmund, Michael - 2014
This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian...
Persistent link: https://www.econbiz.de/10010458174
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News and narratives in financial systems : exploiting big data for systemic risk assessment
Nyman, Rickard; Kapadia, Sujit; Tuckett, David; … - 2018
Persistent link: https://www.econbiz.de/10011913791
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Anticipating the bust : a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises
Lang, Jan Hannes; Izzo, Cosimo; Fahr, Stephan; Ruzicka, … - 2019
This paper presents a tractable, transparent and broad-based domestic cyclical systemic risk indicator (d-SRI) that … financial crises is highly correlated with measures of subsequent crisis severity, such as GDP declines. Model estimates suggest …
Persistent link: https://www.econbiz.de/10011975914
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Towards Building an Early Warning Model to Predict the Financial Crises of Jordanian Islamic Banks
Al-Huneiti, Hana; Al-Ghani, Yousef Abd - In: Journal of management research 8 (2016) 2, pp. 48-65
Persistent link: https://www.econbiz.de/10011436978