期刊论文详细信息
Risks | |
Supervising System Stress in Multiple Markets | |
Mikhail V. Oet5  John M. Dooley3  Amanda C. Janosko3  Dieter Gramlich1  Stephen J. Ong2  Andrea Consiglio4  | |
[1] Professor of Banking, Baden-Wuerttemberg Cooperative State University, Heidenheim 89518, Germany; E-Mail:;Vice President, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA; E-Mail:;Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA; E-Mails:;id="af1-risks-03-00365">Economist, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, U;Economist, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA | |
关键词: financial stress; supervision; financial system stability; systemic risk; | |
DOI : 10.3390/risks3030365 | |
来源: mdpi | |
【 摘 要 】
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.
【 授权许可】
CC BY
© 2015 by the authors; licensee MDPI, Basel, Switzerland.
【 预 览 】
Files | Size | Format | View |
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RO202003190006326ZK.pdf | 1182KB | download |