Supervising system stress in multiple markets

Mikhail V. Oet, John M. Dooley, Amanda C. Janosko, Dieter Gramlich, and Stephen J. Ong

This paper develops an extended financial stress measure that considers the supervisory objective of identifying risks to the stability of the financial system. The measure provides a continuous and bounded signal of financial stress using daily public market data. Broad coverage of material financial system markets over time is achieved by leveraging dynamic credit weights. We consider how this measure can be used to monitor, analyze, and alert financial system stress.

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Year of publication:	2015
Authors:	Oet, Mikhail V. ; Dooley, John M. ; Janosko, Amanda C. ; Gramlich, Dieter ; Ong, Stephen J.
Subject:	financial stress \| supervision \| financial system stability \| systemic risk \| Systemrisiko \| Systemic risk \| Finanzkrise \| Financial crisis \| Bankenaufsicht \| Banking supervision \| Finanzsystem \| Financial system \| Finanzsektor \| Financial sector \| Bankrisiko \| Bank risk \| Finanzmarktaufsicht \| Financial supervision \| Stress \| Work stress

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