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• W3020804958 abstract "This paper formulates an Early Warning System (EWS) for tail financial risks based on real-time multi-period forecast textit{combinations} of %a short-term structure of Value-at-Risk (VaR) and Expected Shortfalls (ES) of portfolio returns of non-financial firms and banks. Forecast combinations include textit{baseline} (VaR,ES) forecasts conditional on a domestic risk factor, as well as textit{stress} (sVaR,sES) forecasts conditional on CoVaRs of the risk factor, thereby integrating stress testing into forecasting. Using monthly data of the G-7 economies for the period 1975:01-2018:12, the proposed EWS delivers significant out-of-sample tail financial risk forecasts and reliable vulnerability signals up to a 12-month forecasting horizon, with stress forecasts in the combination improving forecasting ability prior to periods of severe financial stress." @default.
• W3020804958 created "2020-05-01" @default.
• W3020804958 creator A5068698189 @default.
• W3020804958 date "2018-01-01" @default.
• W3020804958 modified "2023-10-17" @default.
• W3020804958 title "An Early Warning System for Systemic Risks" @default.
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• W3020804958 doi "https://doi.org/10.2139/ssrn.3132520" @default.
• W3020804958 hasPublicationYear "2018" @default.
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