A Meta-analysis of Systemic Risk Measures for gauging Financial Stability

Mercredi | 2018-12-06
Salle B103 – 12h30

Jean-Charles GARIBAL – Massimiliano CAPORIN – Michele COSTOLA – Bertrand MAILLET

After the last major financial crisis of 2008, the financial literature has proposed several systemic risk measures as attempts for quantifying the magnitude of the financial system distress. In this article, we suggest the construction of an overall meta-index for the measurement of systemic risk based on a Sparse Principal Component Analysis of main systemic risk measures, which ultimately aims to provide an index with a more stable dynamic and with an explicit link to severe economic recessions.