Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing

Working Paper No. 12/58

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk indicators to structural shocks identified by... READ MORE...

Publication date: February 2012
ISBN 9781463937768

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Publication date: February 2012


Publication date: February 2012