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Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing

Systemic Real and Financial Risks:  Measurement, Forecasting, and Stress Testing by Marcella Lucchetta
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This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. Using a large number of quarterly time series of the G-7 economies in 1980Q1-2010Q2, we show that the model exhibits significant out-of sample forecasting power for tail real and financial risk realizations, and that stress testing provides useful early warnings on the build-up of real and financial vulnerabilities.
International Monetary Fund; February 2012
41 pages; ISBN 9781463946975
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Title: Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing
Author: Marcella Lucchetta; Gianni De Nicoló