BoE paper sets out financial stress index
Index aims to capture systemic risk by aggregating market-based indicators of stress
Researchers from the Bank of England and Bank of Canada have developed an index of UK financial stress that they say fits well with past financial crises, presenting the results in a staff working paper, published on December 1.
Somnath Chatterjee, Jeremy Chiu, Thibaut Duprey and Sinem Hacioglu Hoke set out a method that draws on 13 market-based indicators of stress to represent conditions in six market segments. By aggregating these segments on the basis of their cross-correlations, the
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