Integrated Risk and Stability Assessment
Overview
IRSA computes the Structural Integrity Index (SII) for financial systems by aggregating multi-dimensional risk indicators into a single, interpretable composite. The methodology integrates Federal Reserve Economic Data (FRED) series with computational normalization and temporal smoothing.
Component Indicators
Credit spreads (investment grade / high yield)
Interbank lending rates and LIBOR equivalents
Systemic leverage ratios
Liquidity coverage indicators
Volatility regimes (VIX, VVIX)
Cross-asset correlation dynamics
Computation
SII definition (simplified)
SII(t) = 100 · Φ(−Σᵢ wᵢ · zᵢ(t))
where zᵢ are standardized indicator deviations, wᵢ are estimated weights, and Φ is the normal CDF.
Data Sources
Primary data source: FRED API (Federal Reserve Bank of St. Louis). Supplementary sources include BIS, IMF Financial Soundness Indicators, and national banking supervisory authorities. All series are updated daily where available.