Search Results - subject:"Early Warning Models"

Forecasting high-risk composite CAMELS ratings

Gaul, Lewis; Jones, Jonathan; Uysal, Pinar - 2019

Persistent link: https://www.econbiz.de/10012065059

A macroeconomic vulnerability model for the euro area

Sondermann, David; Zorell, Nico - 2019

Macroeconomic imbalances increase the vulnerability of an economy to adverse shocks, which in turn can lead to crises with severe economic and social costs. We propose an early warning model that predicts such crises. We identify a set of macroeconomic indicators capturing domestic and external...

Persistent link: https://www.econbiz.de/10012058978

A framework for early-warning modeling with an application to banks

Lang, Jan Hannes; Peltonen, Tuomo; Sarlin, Peter - 2018

This paper proposes a framework for deriving early-warning models with optimal out-of-sample forecasting properties and … introduces a conceptual framework to guide the process of building early-warning models, which highlights and structures the … function approach to evaluate early-warning models with regularized logistic regression and cross-validation to find a model …

Persistent link: https://www.econbiz.de/10012142026

Semi-structural credit gap estimation

Lang, Jan Hannes; Welz, Peter - 2018

This paper proposes a semi-structural approach to identifying excessive household credit developments. Using an overlapping generations model, a normative trend level for the real household credit stock is derived that depends on four fundamental economic factors: real potential GDP, the...

Persistent link: https://www.econbiz.de/10012142038

Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe

Galán Camacho, Jorge E.; Mencía González, Javier - 2018

La brecha crédito-PIB, calculada según la metodología de Basilea (brecha de Basilea), es actualmente el indicador de referencia para la activación del colchón de capital anticíclico (CCA), debido a su simplicidad y capacidad predictiva sobre futuras crisis sistémicas. Sin embargo, este...

Persistent link: https://www.econbiz.de/10012532172

Cross-country linkages and spill-overs in early warning models for financial crises

Lang, Jan Hannes - 2018

that incorporating cross-country financial linkages can improve the signalling performance of early warning models. The …This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning … models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show …

Persistent link: https://www.econbiz.de/10011916864