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Towards a CCA-based Systemic Risk Indicator

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  • António R. Antunes
  • Nuno Silva
  • Nuno Ribeiro

Abstract

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  • António R. Antunes & Nuno Silva & Nuno Ribeiro, 2011. "Towards a CCA-based Systemic Risk Indicator," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:bdpart:r201104
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    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/ar201104_e.pdf
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    References listed on IDEAS

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    1. Dale F Gray & Elena Loukoianova & Samuel W. Malone & Cheng Hoon Lim, 2008. "A Risk-Based Debt Sustainability Framework; Incorporating Balance Sheets and Uncertainty," IMF Working Papers 08/40, International Monetary Fund.
    2. Upper, Christian & Worms, Andreas, 2004. "Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?," European Economic Review, Elsevier, vol. 48(4), pages 827-849, August.
    3. Dalit Contini & Annette Riehl & Andrea Scagni, 2007. "The Role of Family Background on Secondary School Choices," LABORatorio R. Revelli Working Papers Series 72, LABORatorio R. Revelli, Centre for Employment Studies.
    4. Castrén, Olli & Kavonius, Ilja Kristian, 2009. "Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area," Working Paper Series 1124, European Central Bank.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Rita Basto, 2013. "A Macro-prudential Policy for Financial Stability," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    2. Martín Saldías, 2012. "Systemic risk analysis and option-based theory and information," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.

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