Supervising System Stress in Multiple Markets

Mikhail Oet, John M. Dooley, Amanda C. Janosko, Dieter Gramlich and Stephen J. Ong
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John M. Dooley: Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
Amanda C. Janosko: Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
Dieter Gramlich: Professor of Banking, Baden-Wuerttemberg Cooperative State University, Heidenheim 89518, Germany
Stephen J. Ong: Vice President, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA

Risks, 2015, vol. 3, issue 3, 1-25

Abstract: 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 financial system markets over time is achieved by leveraging dynamic credit weights. We consider how this measure can be used to monitor, analyze, and alert financial system stress.

Keywords: financial stress; supervision; financial system stability; systemic risk (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:3:y:2015:i:3:p:365-389:d:55737

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