IMF paper proposes measure of tail-risk events
An International Monetary Fund working paper, published last week, presents a quantitative measure of what constitutes a systemic financial stress event, and uses it to test the efficacy of 11 "near-term systemic risk indicators" to provide an early warning of distress in eurozone and US financial institutions.
The paper – "Near-Coincident" Indicators of Systemic Stress, by Ivailo Arsov, Elie Canetti, Laura Kodres, and Srobona Mitra – uses "the fraction of the number of financial institutions
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