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On monitoring financial stress index with extreme value theory

Listed author(s):
  • Amira Dridi
  • Mohamed El Ghourabi
  • Mohamed Limam
Registered author(s):

    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1080/14697681003792229
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    Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

    Volume (Year): 12 (2012)
    Issue (Month): 3 (March)
    Pages: 329-339

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    Handle: RePEc:taf:quantf:v:12:y:2012:i:3:p:329-339
    DOI: 10.1080/14697681003792229
    Contact details of provider: Web page: http://www.tandfonline.com/RQUF20

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    1. Illing, Mark & Liu, Ying, 2006. "Measuring financial stress in a developed country: An application to Canada," Journal of Financial Stability, Elsevier, vol. 2(3), pages 243-265, October.
    2. Graciela Laura Kaminsky, 1999. "Currency and Banking Crises; The Early Warnings of Distress," IMF Working Papers 99/178, .
    3. Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Early Warning System: Empirical Results from The Signals Approach," MPRA Paper 24577, University Library of Munich, Germany.
    4. Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 207-228, May.
    5. Alwan, Layth C & Roberts, Harry V, 1988. "Time-Series Modeling for Statistical Process Control," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 87-95, January.
    6. Stephan Danninger & Irina Tytell & Ravi Balakrishnan & Selim Elekdag, 2009. "The Transmission of Financial Stress from Advanced to Emerging Economies," IMF Working Papers 09/133, .
    7. Lestano & Jacobs, Jan P.A.M., 2004. "A comparison of currency crisis dating methods: East Asia 1970-2002," CCSO Working Papers 200412, University of Groningen, CCSO Centre for Economic Research.
    8. Mark Illing & Ying Liu, 2003. "An Index of Financial Stress for Canada," Staff Working Papers 03-14, Bank of Canada.
    9. Kalb, Guyonne R. J. & Kofman, Paul & Vorst, Ton C. F., 1996. "Mixtures of tails in clustered automobile collision claims," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 89-107, July.
    10. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-484, December.
    11. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
    12. Asli Demirgüç-Kunt & Enrica Detragiache, 1997. "The Determinants of Banking Crises; Evidence From Developing and Developed Countries," IMF Working Papers 97/106, .
    13. Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
    14. Daniel C. Hardy & Ceyla Pazarbasioglu, 1999. "Determinants and Leading Indicators of Banking Crises: Further Evidence," IMF Staff Papers, Palgrave Macmillan, vol. 46(3), pages 1-1.
    15. Demirguc-Kunt, Asli & Detragiache, Enrica, 1997. "The determinants of banking crises : evidence from industrial and developing countries," Policy Research Working Paper Series 1828, The World Bank.
    16. Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Assessing financial vulnerability, an early warning system for emerging markets: Introduction," MPRA Paper 13629, University Library of Munich, Germany.
    17. Brenda Gonzalez-Hermosillo, 1999. "Determinants of Ex-Ante Banking System Distress; A Macro-Micro Empirical Exploration of Some Recent Episodes," IMF Working Papers 99/33, .
    18. Fabian Valencia & Luc Laeven, 2008. "Systemic Banking Crises; A New Database," IMF Working Papers 08/224, .
    19. Mohamed El Ghourabi & Mohamed Limam, 2007. "Residual Responses to Change Patterns of Autocorrelated Processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(7), pages 785-798.
    20. Elke Hanschel & Pierre Monnin, 2005. "Measuring and forecasting stress in the banking sector: evidence from Switzerland," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 431-49 Bank for International Settlements.
    21. Subir Lall & Roberto Cardarelli & Selim Elekdag, 2009. "Financial Stress, Downturns, and Recoveries," IMF Working Papers 09/100, .
    22. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 591-609, August.
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