7 November 2013 - This is a update


Step 1: Approaches to identify risks and vulnerabilities

We will realize an EWS for S-BFI-C, providing a comprehensive risk analysis covering countries and sectors and aggregating the individual risk dimensions by using the following methodologies:

  • Dynamic Conditional Correlations
  • Copula functions and copula-based models
  • Principal Component Analysis
  • Regime-switching models
  • Frailty models
  • Dynamic latent component analysis
  • Granger causality tests
  • Shrinkage-based regressions
  • Latent Class Analysis
  • Contingent Claim Analysis (CCA)
  • Dynamic Factor Models of Tail Risks

Step 2: Risk Dashboard – Jointly with ECB (MaRS) 

Our aim is to realize a risk dashboard in order to realize a risk mapping and identify potential vulnerabilities within the Eurozone:

  • Sovereign Risks
  • Bank Risks
  • Corporate Risks
  • Market Risks
  • Credit Risks
  • Funding and Liquidity Risks
  • Policy Uncertainty
  • Interlinkages
  • Composite measures
  • Monetary and Policy Intervention Perception


Step 3: Risk Thresholds and Warning Signals

Our aim is to realize a web platform through which verifying in real time the risk profile by web-based data imputation.

The system should periodically update the entire dataset and model estimates planned in the project.

Risk Reports articulated in 4 sections will be available for individual Sovereigns, BFIs and Corporations:

  • Rating, specifying the membership risk category and corresponding risk value;
  • Risk Anomalies, i.e. the risk indicators which appear as excessively risky;
  • Risk Assessment, namely the sensitivity towards systemic risk;
  • Risk Impacts, quantifying the potential risk severity of specific risk dimensions.
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