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Searching for a Metric for Financial Stability

  • O. Aspachs
  • C. Goodhart
  • M. Segoviano
  • D. Tsomocos
  • L. Zicchino

We 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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Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2006fe09.

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Length: 38
Date of creation: 2006
Date of revision:
Handle: RePEc:sbs:wpsefe:2006fe09
Contact details of provider: Web page: http://www.finance.ox.ac.uk
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