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  1. 1. A Swedish Financial Stress Index

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Sören Haefcke; Anders Skarholt; [2012]
    Nyckelord :Financial stress index; Financial crises; Systemic risk; Financial stability; Financial system;

    Sammanfattning : In this thesis we develop a daily index that aims to reflect the functionality of the Swedish financial system. We extend previous research about systemic financial stress by introducing the Swedish Financial Stress Index (SFSI), a market data based measure consisting of 14 indicators aggregated into five subindices that reflect different parts of the financial system. LÄS MER