IMF paper builds dynamic model of systemic risk

IMF headquarters in Washington DC

A working paper, published by the International Monetary Fund in June, develops a dynamic model of systemic risk that aims to provide warning signals prior to a crisis.

Author Kasper Lund-Jensen develops a model that adjusts its "crisis thresholds" to changes in underlying risk factors. When variables cross the threshold, the model signals that levels of systemic risk are reaching crisis point. The paper finds that this provides a more accurate warning signal than previous models that are based

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