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Systemic risk diagnostics: coincident indicators and early warning signals

Author

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  • Schwaab, Bernd
  • Koopman, Siem Jan
  • Lucas, André

Abstract

We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures ( JEL Classification: G21, C33

Suggested Citation

  • Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20111327
    Note: 955417
    as

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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1327.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    credit portfolio models; financial crisis; frailty-correlated defaults; state space methods; systemic risk;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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