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Risks 2015, 3(3), 365-389; doi:10.3390/risks3030365

Supervising System Stress in Multiple Markets

1
Economist, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
2
Nonprofit Research Fellow, Case Western Reserve University, 10900 Euclid Ave, Cleveland, OH 44106, USA
3
Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
4
Professor of Banking, Baden-Wuerttemberg Cooperative State University, Heidenheim 89518, Germany
5
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 article belongs to the Special Issue Financial Engineering to Address Complexity)
View Full-Text   |   Download PDF [1182 KB, uploaded 14 September 2015]   |  

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. View Full-Text
Keywords: financial stress; supervision; financial system stability; systemic risk financial stress; supervision; financial system stability; systemic risk
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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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.

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