Videos

I was a guest researcher at the European Central Bank's Financial Stability Surveillance Division (ECB FSS), with the main task of developing banking system default risk measures. One of the indicators I developed, the Systemic Fragility Measure, was published in the June 2012 European Central Bank Financial Stability Review. The measure is updated quarterly for the ESRB Risk Dashboard [Link].

The Systemic Fragility Measure (named in the ECB FSR as Systemic Risk Measure) was mentioned in the news of channel CNTV. The SFM calculates the probability of at least two banks jointly defaulting (mentioned in the video around the 2:00 min. mark).

Here you can find the original paper. You might also be interested in my recent work.