References
- Akgiray , V , Booth , G and Seifert , B . 1988 . Distribution properties of Latin American black market exchange rates . J. Int. Mon. Finance , 7 : 37 – 48 .
- Alexander , C and Sheedy , E . 2008 . Developing a stress testing framework based on market risk models . J. Bank. Finance , 32 : 2220 – 2236 .
- Alwan , LC and Roberts , HV . 1988 . Time series modeling for statistical process control . J. Business Econ. Statist. , 6 : 87 – 95 .
- Balakrishnan, R., Danninger, S., Elekdag, S. and Tytell, I., The transmission of financial stress from advanced to emerging economies. IMF Working Paper, 2009.
- Balkema , AA and de Haan , L . 1974 . Residual life time at great age . Ann. Probab. , 2 : 792 – 804 .
- Caprio, G. and Klingebiel, D., Bank insolvencies, cross country experience. World Bank Working Paper, 1996.
- Cardarelli, R., Elekdag, S. and Lall, S., Financial stress, downturns, and recoveries. IMF Working Paper, 2009.
- Committee on the Global Financial System, Stress testing at major financial institutions: Survey results and practice. CGFS Publications, No. 24, 2005.
- Dekkers , ALM , Einmahl , JHJ and de Haan , L . 1989 . A moment estimator for the index of an extreme-value distribution . Ann. Statist. , 17 : 1833 – 1855 .
- Demirgüç-Kunt, A. and Detragiache, E., The determinants of banking crises: Evidence from developing and developed countries. IMF Working Paper, No. 106, 1997.
- Demirgüç-Kunt, A. and Detragiache, E., Financial liberalization and financial fragility. IMF Working Paper, No. 1917, 1998.
- Demirgüç-Kunt, A. and Detragiache, E., Monitoring banking sector fragility: A multivariate logit approach with an application to the 1996–97 banking crises. World Bank Working Papers, No. 2085, 1999.
- Eichengreen, B., Rose, A.K. and Wyplosz, C., Exchange market mayhem: The antecedents and aftermath of speculative attacks. Economic Policy: A European Forum, No. 21, 1995.
- Eichengreen , B , Rose , A and Wyplosz , C . 1996 . Contagious currency crises: First tests . Scand. J. Econ. , 98 ( 4 ) : 463 – 484 .
- Eichengreen , B and Bordo , M . 2002 . Crisis now and then: What lessons from the era financial globalization , NBER Working Paper
- Embrechts , P , Klüppelberg , C and Mikosch , T . 1997 . Modeling Extremal Events for Insurance and Finance , Berlin : Springer .
- Embrechts , P , Resnick and Samorodnitsky , G . 1999 . Extreme value theory as a risk management tool . N. Am. Actuar. J. , 3 : 30 – 41 .
- Ghourabi , ME and Limam , M . 2007 . Residual responses to change patterns of autocorrelated processes . J. Appl. Statist. , 34 ( 7 ) : 785 – 798 .
- Gilli , M and Këllezi , E . 2006 . An application of extreme value theory for measuring financial risk . Comput. Econ. , 27 ( 1 ) : 1 – 23 .
- Goldstein, M., Kaminsky, G. and Reinhart, C., Assessing financial vulnerability: An early warning system for emerging markets. Institute for International Economics, Washington, DC, 2000.
- Gonzalez-Hermosillo, B., Determinants of ex-ante banking system stress: A macro-micro empirical exploration of some recent episodes. IMF Working Paper, No. 33, 1999.
- Hanschel , E and Monnin , P . 2003 . Measuring and forecasting stress in the banking sector: Evidence from Switzerland . BIS Papers , 22 : 431 – 449 .
- Hardy , DC and Pazarbasioglu , C . 1999 . Determinants and leading indicators of banking crises: Further evidence . IMF Staff Papers , 46 ( 3 ) : 247 – 258 .
- Hill , BM . 1975 . A simple general approach to inference about the tail of a distribution . Ann. Statist. , 46 : 1163 – 1173 .
- Ho , TK . 2008 . Extremal analysis of currency crises in Taiwan . Appl. Econ. , 40 : 1175 – 1186 .
- Hutchison , M and McDill , K . 1999 . Are all banking crises alike? The Japanese experience in international comparison . J. Jap. Int. Econ. , 13 ( 3 ) : 155 – 180 .
- Illing , M and Liu , Y . 2003 . An index of financial stress for Canada , Working Paper, No. 14 Bank of Canada .
- Illing , M and Liu , Y . 2006 . Measuring financial stress in a developed country: An application to Canada . J. Financial Stabil. , 2 ( 3 ) : 243 – 265 .
- International Monetary Fund, World Economic Outlook, chapter 4, 1998.
- International Monetary Fund, Country Report, 2004.
- Kalb , GRJ , Kofman , P and Vorst , TCF . 1996 . Mixtures of tails in clustered automobile collision claims . Insurance, Math. Econ. , 18 : 89 – 107 .
- Kaminsky , G . 1998 . Currency and banking crises: The early warnings of stress , International Finance Discussion Paper No. 629
- Kaminsky , G and Reinhart , C . 1999 . The twin crisis: The causes of banking and balance of payment problems . Am. Econ. Rev. , 89 ( 3 ) : 473 – 500 .
- Koedijk , KG , Schafgans , MMA and de Vries , CG . 1990 . The tail index of exchange rate returns . J. Int. Econ. , 29 : 93 – 108 .
- Kupiec , P . 1998 . Stress testing in a value at risk framework . J. Deriv. , 6 : 7 – 24 .
- Laeven, L. and Valencia, F., Systemic banking crises: A new database. IMF Working Paper, 2008.
- Lestano, L. and Jacobs, J.P.A.M., A comparison of currency crisis dating methods: East Asia 1970–2002. CCSO Working Papers, University of Groningen, CCSO Centre for Economic Research, 2004.
- Loretan , M and Phillips , PCB . 1994 . Testing the covariance stationarity of heavy-tailed time series . J. Empir. Finance , 1 : 211 – 248 .
- Mason , DM . 1982 . Laws of large numbers for sums of extreme values . Ann. Probab. , 10 : 756 – 764 .
- Pickands , J . 1975 . Statistical inference using extreme value order statistics . Ann. Statist. , 3 : 119 – 131 .
- Pontines, V. and Siregar, R., Exchange market pressure and extreme value theory: Incidence of currency crisis in East Asia and Latin America. Mimeo, School of Economics, Unversity of Adelaide, 2004.
- Pozo , S and Amuedo-Dorantes , C . 2003 . Statistical distributions and the identification of currency crises . J. Int. Mon. Finance , 22 : 591 – 609 .
- Snoussi , A , Ghourabi , ME and Limam , M . 2005 . On SPC for short run autocorrelated data . Commun. Statist.: Simul. Comput. , 34 : 219 – 234 .
- Vermaat , MB , Does , RJMM and Steerneman , AGM . 2005 . A modified quantile estimator using extreme value theory with applications . Econ. Qual. Control , 20 ( 1 ) : 31 – 39 .
- Vila , A . 2000 . Asset price crisis and banking crisis: Sum empirical evidence . BIS Conf. Pap. , 8 : 232 – 252 .
- Wardell , DG , Moskowitz , H and Plante , RD . 1994a . Run length distributions of special cause control chart for autocorrelated process . Technometrics , 36 : 3 – 27 .
- Wardell , DG , Moskowitz , H and Plante , RD . 1994b . Run length distributions of residual control charts for autocorrelated processes . J. Qual. Technol. , 26 : 308 – 317 .