Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210312 
Authors: 
Year of Publication: 
2015
Series/Report no.: 
Staff Memo No. 4/2015
Publisher: 
Norges Bank, Oslo
Abstract: 
This paper constructs a Composite Indicator of Systemic Stress (CISS) for Norway using a portfolio-theoretic framework as in Holló, Kremer and Lo Duca (2012) to facilitate real-time monitoring of the short-term development of systemic stress in the Norwegian financial system. In the aftermath of the global financial crisis, capital requirements are being tightened to make credit institutions more resilient to turmoils in the financial system. As part of the new capital requirements for banks, a counter-cyclical capital buffer has been activated in Norway in the light of Norges Bank's assessment that financial imbalances had been build up over time (Press release 12 December 2013 from the Ministry of Finance). Norges Bank's advice on the level of the buffer is primarily based on four key indicators. However, another type of indicator(s) is needed for the prompt reduction of the buffer in the event of market turbulence and heightened loss prospects for the banking sector, and this paper aims to provide just that.
Subjects: 
GARCH models
financial stress index
financial stability
systemic risk
countercyclical capital buffer
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-877-0
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Research Report
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