Banking stability measures

Segoviano, Miguel A. and Goodhart, Charles (2009) Banking stability measures. Financial Markets Group Discussion Papers (627). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Preview

PDF Download (1MB) | Preview

• https://www.fmg.ac.uk/publications/discu...

Abstract

The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability assessment. We present a set of banking stability measures embedding banks’ linear (correlation) and nonlinear distress-dependence, and their changes through the economic cycle, thereby allowing analysis of stability from three complementary perspectives: common distress in the system, distress between specific banks, and cascade effects associated with a specific bank. Our approach defines the banking system as a portfolio of banks and infers its multivariate density from which the proposed measures are estimated. These can be provided for developed and developing countries.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.fmg.ac.uk/
Additional Information:	© 2009 The Authors
Divisions:	Financial Markets Group
Subjects:	H Social Sciences > HF Commerce H Social Sciences > HG Finance
JEL classification:	C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C19 - Other E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation and Selection C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Date Deposited:	09 Jul 2009 11:02
Last Modified:	11 Dec 2024 18:55
URI:	http://eprints.lse.ac.uk/id/eprint/24416

Actions (login required)

View Item