Forecasting systemic impact in financial networks
نویسندگان
چکیده
منابع مشابه
Forecasting systemic impact in financial networks
We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be used for timely systemic risk monitoring of large European banks and insurance companies. We predict firms’ systemic relevance as the marginal impact of individual downside ris...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2014
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2013.09.004