Systemic Risk & Macroeconomic Forecasting: A Globally Applicable Copula-based Approach
The fragility of the financial system can have dire economic consequences is one of the key learnings from the Global Financial Crisis (2007-09). The impact of the crisis was exacerbated due to the interconnectedness of financial institutions and international financial markets. Monitoring the fragility of the financial system, referred to as systemic risk in financial…