C5 - Econometric Modeling
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Dating Systemic Financial Stress Episodes in the EU Countries
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. -
Measuring Systemic Risk Across Financial Market Infrastructures
We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant.