Balla, Eliana; Ergen, Ibrahim; Migueis, Marco - In: Journal of Financial Stability 15 (2014) C, pp. 195-209
result, we derive extremal dependence-based systemic risk indicators. The proposed systemic risk indicators reflect downturns …–2008 financial crisis. Additionally, we explore the performance of selected systemic risk indicators in predicting the crisis … quality. We believe the proposed indicators have the potential to inform the prudential supervision of systemic risk. …