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- W3200931475 abstract "This paper proposes a holistic and comprehensive approach to accurately measure and detect systemic risk. A counter-cyclical structure of regulatory policy has been widely proposed as a countermeasure of the pro-cyclicality of the risk charge. Accordingly, extant regulatory approaches highlight the need for leading variables as a harbinger of a systemic crisis based on the market prices rather than lagging ones. Our empirical study based on a Markov regime-switching model conrms that both leading and lagging systemic variables are helpful in a complementary manner. The proposed diagnostic framework clearly demonstrates the dierent aspects of a series of previous crises." @default.
- W3200931475 created "2021-09-27" @default.
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- W3200931475 date "2012-05-01" @default.
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- W3200931475 title "A Systematic Diagnosis of Systemic Risk" @default.
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