Danish economists test measure of systemic risk
‘SRISK’ measure offers good prediction of when banks will need bailing out
The ‘SRISK’ measure of systemic risk is effective at gauging systemic risk in the Danish financial system, according to a working paper published by the National Bank of Denmark on February 5.
Systemic risk in Danish banks: implementing Srisk in a Danish context, by Oliver Juhler Grinderslev and Kristian Loft Kristiansen, both economists at the central bank, focuses on measuring the systemic risk of the four major banking groups in Denmark. SRISK uses balance sheet and market data to create a
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