This paper contains new results for helping to understand financial crises. First, we present a new model for obtaining the probability of equity crises within one year in advance, and we test it. Second and separately, various markets already in crises appear quantitatively related to a theory...

We introduce a methodology from geophysics, Singular Spectrum Analysis (SSA), to obtain stable, noise-cleaned correlations for long term risk (e.g. counterparty risk). SSA is applied to time series to smooth them in a robust manner. The SSA-smoothed time series are then used to obtain the...

We estimated the effect of the share of mortgage lending by individual banks (together with some control variables) on two measures of financial stability - the bank Z-score and the nonperforming loan ratio - for a sample of 212 banks in 19 emerging Asian economies for 2007–2013 from the...

This paper presents estimates of the effect of the share of mortgage lending by individual banks on two measures of financial stability — the bank Z-score and the nonperforming loan ratio. The sample covers 212 banks in 19 emerging Asian economies for 2007-2013 from the Bankscope database. The...