CBSRM · Systemic Risk Terminal
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System Stress Holló–Kremer–LoDuca 2012

Cross-Crisis Comparison CBSRM crisis dossiers · 2008Q4 · 2020Q1 · 2023Q1

Three canonical windows, three lenses. Watch DebtRank and the macro-regime score diverge in 2023Q1 — network fragility with benign macro prints.

Firm Capital Shortfall — SRISK Brownlees–Engle 2017 · NYU Stern V-Lab

Network Contagion — DebtRank Battiston et al. 2012

Macro Regime — 4-State Phase Estrella–Mishkin 1996 · phase classifier

Tail Spillover — ΔCoVaR & MES Adrian–Brunnermeier 2016 · Acharya et al. 2017

Methodology & Citations

  • Holló, Kremer & Lo Duca (2012) — CISS: A Composite Indicator of Systemic Stress. ECB WP 1426.
  • Brownlees & Engle (2017) — SRISK: A Conditional Capital Shortfall Measure of Systemic Risk. RFS 30(1).
  • Adrian & Brunnermeier (2016) — CoVaR. AER 106(7).
  • Acharya, Pedersen, Philippon & Richardson (2017) — Measuring Systemic Risk. RFS 30(1).
  • Battiston et al. (2012) — DebtRank: Too Central to Fail? Scientific Reports 2:541.
  • Estrella & Mishkin (1996) — The Yield Curve as a Predictor of U.S. Recessions. NY Fed.

About this terminal

  • Every figure is computed from the canonical, public cbsrm classes (the same ones the CLI and FastAPI use) and is reproducible offline via dashboard/build_terminal_data.py.
  • Crisis windows use pinned, deterministic fixtures; G-SIB balance sheets and the ΔCoVaR/MES pair are illustrative / synthetic and clearly labelled.
  • Scope is systemic-risk measurement and model governance — there are no trade signals, positions, or P&L anywhere on this surface.
© WaverVanir International LLC · CBSRM · Licensed under Apache-2.0
github.com/pravo123/cbsrm · Research / decision-intelligence output — not investment advice.