Garita, Gus (2009): Risk-Factor Portfolios and Financial Stability.
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By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) among risk factors, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of risk factors, (ii) distress between specific risk factors, and (iii) distress to a portfolio related to a specific risk factor. The results show that financial stability is a continuum; that U.S. banks tend to cause the most stress to the global financial system (as defined herein); and that Asian banks show the most persistence of distress. Further, the panel VAR indicates that "leaning against the wind" reduces the (potential) instability of a financial system.
|Item Type:||MPRA Paper|
|Original Title:||Risk-Factor Portfolios and Financial Stability|
|Keywords:||Conditional probability of joint failure, contagion, dependence structure, distress, multivariate extreme value theory, panel VAR, persistence|
|Subjects:||F - International Economics > F1 - Trade > F15 - Economic Integration
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration
|Depositing User:||Gus Garita|
|Date Deposited:||11. Mar 2010 01:32|
|Last Modified:||05. Jan 2016 23:20|
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Risk-Factor Portfolios and Financial Stability. (deposited 29. Dec 2009 00:13)
Risk-Factor Portfolios and Financial Stability. (deposited 03. Feb 2010 00:25)
- Risk-Factor Portfolios and Financial Stability. (deposited 11. Mar 2010 01:32) [Currently Displayed]
- Risk-Factor Portfolios and Financial Stability. (deposited 03. Feb 2010 00:25)