Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for systemic risk, which allow to detect misspecified systemic risk forecasts in an "online" fashion. This enables daily monitoring of the forecasts while controlling for the accumulation of false test rejections. Such online schemes are vital in taking timely countermeasures to avoid financial distress. Our monitoring procedures allow multiple series at once to be monitored, thus increasing the likelihood and the speed at which early signs of trouble may be picked up. The tests hold size by construction, such that the null of correct systemic risk assessments is only rejected during the monitoring period with (at most) a pre-specified probability. Monte Carlo simulations illustrate the good finite-sample properties of our procedures. An empirical application to US banks during multiple crises demonstrates the usefulness of our surveillance schemes for both regulators and financial institutions.

翻译：近几十年来，随着金融市场多次动荡事件的发生，系统性风险的变化日益受到关注。为此，我们提出了系统性风险的监测方案，该方案能够以"在线"方式检测错误设定的系统性风险预测。这使得我们能够在控制错误检验拒绝累积的同时，对预测进行日常监控。此类在线方案对于及时采取应对措施以避免金融困境至关重要。我们的监测程序允许同时对多个序列进行监测，从而提高了及早发现风险迹象的可能性和速度。这些检验在构造上控制了检验水平，使得在监测期间，仅在（至多）预先设定的概率下拒绝系统性风险评估正确的原假设。蒙特卡洛模拟展示了我们程序在有限样本下良好的性质。通过对多次危机期间美国银行的实证应用，我们证明了所提出的监测方案对监管机构和金融机构均具有实用价值。