Risk Monitoring Systems in Real-time Based on Dynamic Factor Models
Published on Jan 1, 2016
· DOI :10.1016/B978-1-78548-085-0.50008-X
Abstract: Systemic financial risk is not new to researchers and policy-makers, who are still committed to the stability of financial systems1. More than 15 years ago, Group of Ten concluded that “[risk] interdependencies between large and complex banking organizations have increased over the last decade in the United States and Japan, and are beginning to do so in Europe”. In the early 2000s, several other studies documented the increased potential for systemic financial risk realizations in several advanced economies, consistent with the conclusion of the G-10 study.