Abstract
Due to the Recent Financial Crisis, Several Systemic Risk Measures Have Been Proposed in the Literature for Quantifying Financial System Wide Distress. in This Note We Propose an Aggregated Index for Financial Systemic Risk Measurement based on EOF and Ica Analyses on the Several Systemic Risk Measures Released in the Recent Literature. We Use This Index to Further Identify the States of the Market as Suggested in Kouontchou Et Al. [18]. We Show, by Characterizing Markets Conditions with a Robust Kohonen Self-Organizing Maps Algorithm that This Measure is Directly Linked to Crises Markets States and There is a Strong Link between Return and Systemic Risk.
Recommended Citation
P. Kouontchou et al., "A R-SOM Analysis of the Link between Financial Market Conditions and a Systemic Risk Index based on Ica-Factors of Systemic Risk Measures," Proceedings of the Annual Hawaii International Conference on System Sciences, pp. 1759 - 1770, article no. 7427402, Institute of Electrical and Electronics Engineers, Mar 2016.
The definitive version is available at https://doi.org/10.1109/HICSS.2016.222
Department(s)
Engineering Management and Systems Engineering
International Standard Book Number (ISBN)
978-076955670-3
International Standard Serial Number (ISSN)
1530-1605
Document Type
Article - Conference proceedings
Document Version
Citation
File Type
text
Language(s)
English
Rights
© 2024 Institute of Electrical and Electronics Engineers, All rights reserved.
Publication Date
07 Mar 2016
