Supervising System Stress in Multiple Markets
AbstractThis 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
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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.Chicago/Turabian Style
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.