http://www.bis.org/cbhub/list/author/author_8679/index.rss Research hub papers by author Mikhail V Oet en http://www.clevelandfed.org/research/workpaper/2012/wp1237.pdf Cleveland Fed Working papers by Timothy Bianco, Dieter Gramlich, Mikhail V Oet and Stephen J Ong Financial Stress Index: A Lens for Supervising the Financial System 2012-12-28T06:25:59Z This paper develops a new financial stress measure (Cleveland Financial Stress Index, CFSI) that considers the supervisory objective of identifying risks to the stability of the financial system. The index provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The construction methodology uses daily public market data collected from different sectors of financial markets. A unique feature of the index is that it employs a dynamic weighting method that captures the changing relative importance of the different sectors of the financial system. This study shows how the index can be applied to monitoring and analyzing financial system conditions. Financial Stress Index: A Lens for Supervising the Financial System 2012-12-28T06:25:59Z Full text http://www.clevelandfed.org/research/workpaper/2012/wp1237.pdf Stephen J Ong Mikhail V Oet Dieter Gramlich Timothy Bianco Timothy Bianco, Dieter Gramlich, Mikhail V Oet and Stephen J Ong 2012-12 Cleveland Fed Working papers http://www.clevelandfed.org/research/Workpaper/2011/wp1130.pdf Cleveland Fed Working papers by Timothy Bianco, Ryan Eiben, Dieter Gramlich, Mikhail V Oet and Stephen J Ong The Financial Stress Index: Identification of Systemic Risk Conditions 2011-11-10T06:25:00Z This paper develops a financial stress index for the United States, the Cleveland Financial Stress Index (CFSI), which provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The index is based on daily public-market data collected from four sectors of the financial markets-the credit, foreign exchange, equity, and interbank markets. A dynamic weighting method is employed to capture changes in the relative importance of these four sectors as they occur. In addition, the design of the index allows the origin of the stress to be identified. We compare the CFSI to alternative indexes, using a detailed benchmarking methodology, and show how the CFSI can be applied to systemic stress monitoring and early warning system design. To that end, we investigate alternative stress-signaling thresholds and frequency regimes and then establish optimal frequencies for filtering out market noise and idiosyncratic episodes. Finally, we quantify a powerful CFSI-based rating system that assigns a probability of systemic stress to ranges of CFSI outcomes. The Financial Stress Index: Identification of Systemic Risk Conditions 2011-11-10T06:25:00Z Full text http://www.clevelandfed.org/research/Workpaper/2011/wp1130.pdf Stephen J Ong Mikhail V Oet Dieter Gramlich Ryan Eiben Timothy Bianco Timothy Bianco, Ryan Eiben, Dieter Gramlich, Mikhail V Oet and Stephen J Ong 2011-11 Cleveland Fed Working papers http://www.clevelandfed.org/research/workpaper/2011/wp1129.pdf Cleveland Fed Working papers by Timothy Bianco, Ryan Eiben, Dieter Gramlich, Mikhail V Oet, Stephen J Ong and Jing Wang SAFE: An Early Warning System for Systemic Banking Risk 2011-11-02T06:25:00Z This paper builds on existing microprudential and macroprudential early warning systems (EWSs) to develop a new, hybrid class of models for systemic risk, incorporating the structural characteristics of the financial system and a feedback amplification mechanism. The models explain financial stress using both public and proprietary supervisory data from systemically important institutions, regressing institutional imbalances using an optimal lag method. The Systemic Assessment of Financial Environment (SAFE) EWS monitors microprudential information from the largest bank holding companies to anticipate the buildup of macroeconomic stresses in the financial markets. To mitigate inherent uncertainty, SAFE develops a set of medium-term forecasting specifications that gives policymakers enough time to take ex-ante policy action and a set of short-term forecasting specifications for verification and adjustment of supervisory actions. This paper highlights the application of these models to stress testing, scenario analysis, and policy. SAFE: An Early Warning System for Systemic Banking Risk 2011-11-02T06:25:00Z Full text http://www.clevelandfed.org/research/workpaper/2011/wp1129.pdf Jing Wang Stephen J Ong Mikhail V Oet Dieter Gramlich Ryan Eiben Timothy Bianco Timothy Bianco, Ryan Eiben, Dieter Gramlich, Mikhail V Oet, Stephen J Ong and Jing Wang 2011-11 Cleveland Fed Working papers