Supervising System Stress in Multiple Markets
Economist, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
Nonprofit Research Fellow, Case Western Reserve University, 10900 Euclid Ave, Cleveland, OH 44106, USA
Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
Professor of Banking, Baden-Wuerttemberg Cooperative State University, Heidenheim 89518, Germany
Vice President, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
Author to whom correspondence should be addressed.
Academic Editors: Andrea Consiglio and Stavros A. Zenios
Received: 9 April 2015 / Accepted: 1 September 2015 / Published: 14 September 2015
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.
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MDPI and ACS Style
Oet, M.V.; Dooley, J.M.; Janosko, A.C.; Gramlich, D.; Ong, S.J. Supervising System Stress in Multiple Markets. Risks 2015, 3, 365-389.
Oet MV, Dooley JM, Janosko AC, Gramlich D, Ong SJ. Supervising System Stress in Multiple Markets. Risks. 2015; 3(3):365-389.
Oet, Mikhail V.; Dooley, John M.; Janosko, Amanda C.; Gramlich, Dieter; Ong, Stephen J. 2015. "Supervising System Stress in Multiple Markets." Risks 3, no. 3: 365-389.
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