| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089409 | Journal of Banking & Finance | 2013 | 15 Pages |
Abstract
⺠We compare market-based, high-frequency macro and micro systemic risk measures. ⺠Macro systemic risk measures gauge tensions in the whole financial sector. ⺠Micro systemic risk measures focus on individual institutions information. ⺠We rank the measures within the same group according to three different criteria. ⺠Measures based on CDS spreads outperform the remainder measures.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
MarÃa RodrÃguez-Moreno, Juan Ignacio Peña,