Econometric Measures of Connectedness and Systemic Risk in the Finance and...
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors Abstract We propose several econometric measures of connectedness based on principal-components analysis and...
View ArticleIMF Report | Systemic Banking Crises Database – An Update
Systemic Banking Crises Database — An Update Summary: We update the widely used banking crises database by Laeven and Valencia (2008, 2010) with new information on recent and ongoing crises, including...
View ArticleDebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk
DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk Systemic risk, here meant as the risk of default of a large portion of the financial system, depends on the network of...
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