Patro, Dilip K.; Qi, Min; Sun, Xian - In: Journal of Financial Stability 9 (2013) 1, pp. 105-116
systemic risk. By analyzing the trends and fluctuations of daily stock return correlations and default correlations among the … a simple, robust, forward-looking, and timely systemic risk indicator. There is an increasing trend in stock return … correlations between banks’ idiosyncratic risks, which give rise to increasing systemic risk. Correlation spikes tend to predict or …