Searching for a Metric for Financial Stability

O. Aspachs, C. Goodhart, M. Segoviano, Dimitrios Tsomocos and Lea Zicchino ()

OFRC Working Papers Series from Oxford Financial Research Centre

Abstract: We propose a metric of financial stability that is a weighted average of the probability of default and the equity of each country. The weights are obtained in the VAR and must reflect that the welfare changes due to financial instability are produced primarily through changes of the probability of default and secondarily through changes of the equity value. The metric is based on the definition of financial instability suggested by Tsomocos (2003 a and b) and Goodhart, Sunirand and Tsomocos (2006).

Pages: 38
Date: 2006
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.finance.ox.ac.uk/file_links/finecon_papers/2006fe09.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.finance.ox.ac.uk:80 (No such host is known. )

Related works:
Working Paper: Searching for a Metric for Financial Stability (2006)
Working Paper: Searching for a Metric for Financial Stability (2006)
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:sbs:wpsefe:2006fe09

Access Statistics for this paper

More papers in OFRC Working Papers Series from Oxford Financial Research Centre Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().