Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167861
Authors: 
Oet, Mikhail V.
Dooley, John M.
Janosko, Amanda C.
Gramlich, Dieter
Ong, Stephen J.
Year of Publication: 
2015
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 3 [Year:] 2015 [Issue:] 3 [Pages:] 365-389
Abstract: 
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.
Subjects: 
financial stress
supervision
financial system stability
systemic risk
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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