Sorry, you need to enable JavaScript to visit this website.
Person

Chi Truong

Working paper

Systemic Financial Risk Inference in a Global Setting


We propose a new top-down approach to measure systemic risk in the financial system. Our framework uses a combination of macroeconomic, financial and rating factors in representative regions of the world. We formulate a mixed-frequency state-space model to estimate macroeconomic factors. To derive financial risk factors, we use Moody’s/KMV expected default frequencies after accounting for...

ADVERTISEMENT