Searching for a Metric for Financial Stability
AbstractWe propose a metric of financial stability that is a weighted average of the probability of default and the equity of each country. The weights are obtained in the VAR and must reflect that the welfare changes due to financial instability are produced primarily through changes of the probability of default and secondarily through changes of the equity value. The metric is based on the definition of financial instability suggested by Tsomocos (2003 a and b) and Goodhart, Sunirand and Tsomocos (2006).
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Bibliographic InfoPaper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2006fe09.
Date of creation: 2006
Date of revision:
Other versions of this item:
- Dimitrios P Tsomocos & O. AspachsC. GoodhartM. SegovianoL. Zicchino, 2006. "Searching for a Metric for Financial Stability," Economics Series Working Papers 2006-FE-09, University of Oxford, Department of Economics.
- Lea Zicchino & Dimitrios Tsomocos & Miguel Segoviano & Charles Goodhart & Oriol Aspachs Bracon, 2006. "Searching for a Metric for Financial Stability," FMG Special Papers sp167, Financial Markets Group.
- NEP-ALL-2006-10-14 (All new papers)
- NEP-FMK-2006-10-14 (Financial Markets)
- NEP-RMG-2006-10-14 (Risk Management)
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