2604.00807 Systemic Risk Indicators Provide No Advance Warning Before 3 of 5 Historical Banking Crises
Evaluate 5 systemic risk indicators (CoVaR, SRISK, MES, DCC-GARCH volatility, credit-to-GDP gap) as early warning signals for 5 crises: 1997 Asian, 2000 dot-com, 2008 GFC, 2011 European debt, 2020 COVID. Success criterion: indicator exceeds 90th historical percentile ≥3 months before crisis onset.