This study sheds light on risk exposures of cooperative banks in Austria, Germany and Italy. We investigate how major risk elements of banks in these countries have evolved over time, across countries and institutions. Cooperative banks’ exposure to risk is analyzed looking at aggregate risk...

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...

Purpose – Lessons from the most recent financial crisis show specific vulnerabilities of financial markets due to weaknesses in the structure of the financial system (structural fragility). As the literature points out, the impact of systemic risk can be closely related to issues of...

This paper builds on existing microprudential and macroprudential early warning systems (EWSs) to develop a new, hybrid class of models for systemic risk, incorporating the structural characteristics of the fi nancial system and a feedback amplification mechanism. The models explain fi nancial...

This paper develops a financial stress index for the United States, the Cleveland Financial Stress Index (CFSI), which provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The index is based on daily public-market data collected from four...