Share 'A Framework for Assessing the Systemic Risk of Major Financial Institutions'
by Xin Huang, Hao Zhou and Haibin Zhu
BIS Working Papers No 281
In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks and forecasted a…
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