Systemic risk diagnostics: coincident indicators and early warning signals

Bernd Schwaab, Siem Jan Koopman and Andre Lucas

No 1327, Working Paper Series from European Central Bank

Abstract: We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures ( JEL Classification: G21, C33

Keywords: credit portfolio models; financial crisis; frailty-correlated defaults; state space methods; systemic risk (search for similar items in EconPapers)
Date: 2011-04
New Economics Papers: this item is included in nep-ban, nep-cba, nep-ore and nep-rmg
Note: 955417
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1327.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20111327

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().