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Measuring and forecasting financial system resilience under multiple shocks: A survival analysis approach

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  • Hu, Wenbin
  • Zhou, Junzi

Abstract

This paper addresses the problem of measuring and forecasting financial system resilience. We propose two key extensions to the prevailing shock-based methodologies. First, we incorporate multiple risk sources using generalized impulse response functions, enabling the assessment of general financial resilience rather than specific measure under a single shock. Second, we apply survival analysis – a novel and highly suitable modeling framework for shock methodologies – to integrating financial resilience measurement, key influencing factors identification, and resilience forecasting within a framework. Empirical analysis utilizing US financial system data demonstrates that the proposed measure achieves a 23.81% improvement in accuracy compared to the existing absorption duration measure. Furthermore, the method is forward-looking and proves effective and convenient for identifying critical influencing factors and forecasting financial resilience.

Suggested Citation

  • Hu, Wenbin & Zhou, Junzi, 2025. "Measuring and forecasting financial system resilience under multiple shocks: A survival analysis approach," Pacific-Basin Finance Journal, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:pacfin:v:94:y:2025:i:c:s0927538x25003038
    DOI: 10.1016/j.pacfin.2025.102966
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