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Liquidity & systemic risks visualized

The liquidity risk indicator (LRI) and the systemic stress composite indicator (SSCI) between January 1999 and October 2013 (source ECB): part of systemic stress is explained by liquidity risk. As risk is identi ed with volatility LRI has been designed to be a measure of risk, thus LRI’s variability could be used

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Posted in Economics, R-stats
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The Financial Crisis: 5 years on and the ECB systemic risk indicator

The financial crisis 5 years on: the systemic risk indicator by the ECB and its “changepoint”.

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Posted in Economics
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