English, Article, Journal or magazine article edition: Banking Stability Measures Charles Goodhart; Miguel Segoviano

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Bookmark: http://trove.nla.gov.au/version/45249
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Banking Stability Measures
Author
  • Charles Goodhart
  • Miguel Segoviano
Physical Description
  • preprint
Notes
  • The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability assessment. We present a set of banking stability measures embedding banks’ linear (correlation) and nonlinear distress-dependence, and their changes through the economic cycle, thereby allowing analysis of stability from three complementary perspectives: common distress in the system, distress between specific banks, and cascade effects associated with a specific bank. Our approach defines the banking system as a portfolio of banks and infers its multivariate density from which the proposed measures are estimated. These can be provided for developed and developing countries.
  • RePEc:fmg:fmgdps:dp627
Language
  • English
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