CISS of death: measuring financial crises in real time
Thoughts
Connects with: @cardarelli2011 @hakkio2009 @hollo2012 @illing2006 @monin2019 @oet2015 @vermeulen2015
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chavleishvili2025 - p. 686
First, it is grounded in standard definitions of systemic risk. Systemic stress is defined as a state in which a representative set of stress indicators is both extremely high and highly co-dependent, reflecting the fact that systemic risk materializes when widespread financial instability disrupts the provision of financial services, adversely affecting growth and employment (see, e.g., Freixas, Laeven, and Peydro� 2015). We interpret systemic stress as an ex post measure of systemic risk, capturing its materialization at a specific point in time.
chavleishvili2025 - p. 690
Systemic financial stress is defined as a state of the financial system in which stress indicators st are generally extremely high (extremeness dimension) and strongly codependent (co-dependence dimension).
chavleishvili2025 - p. 691
Definition 2 (Systemic Financial Stress Index). Let extremeness and co-dependence be quantified by two bounded real-valued matrices, Et and Ct, each of dimension N × N. The systemic financial stress index St is defined as a matrix association index that captures the degree of co-extremeness