ECB working paper proposes indicator of systemic stress


European Central Bank researchers have put forward a new indicator of contemporaneous stress in the financial system named the composite indicator of systemic stress (CISS).

Dániel Holló, Manfred Kremer and Marco Lo Duca explain that the specific statistical design of the CISS is "shaped according to standard definitions of systemic risk".

"The main methodological innovation of the CISS is the application of basic portfolio theory to the aggregation of five market-specific sub-indices created

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