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Measuring systemic risk in the U.S. Banking system

James W. Kolari, Félix López-Iturriaga () and Ivan Pastor Sanz

Economic Modelling, 2020, vol. 91, issue C, 646-658

Abstract: •A novel measure of systemic risk using mapping and regression methods is proposed.•Default probabilities for U.S. banks are aggregated into a single macro measure.•Our measure has predictive power to detect systemic volatility prior to the 2008–09 crisis.•According to our measure, systemic risk returned to normal levels by 2012.•Micro- and macro-prudential measures are useful in assessing systemic risk.

Date: 2020
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DOI: 10.1016/j.econmod.2019.12.005

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