Towards a Tomographic Index of Systemic Risk Measures
Abstract
Due to the Recent Financial Crisis, Several Systemic Risk Measures Have Been Proposed in the Literature for Quantifying Financial Systemwide 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. [7]. 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
K. M. Björk et al., "Towards a Tomographic Index of Systemic Risk Measures," 23rd European Symposium on Artificial Neural Networks, Computational Intelligence and Machine Learning, ESANN 2015 - Proceedings, pp. 543 - 548, European Symposium on Artificial Neural Networks, Jan 2015.
Department(s)
Engineering Management and Systems Engineering
International Standard Book Number (ISBN)
978-287587014-8
Document Type
Article - Conference proceedings
Document Version
Citation
File Type
text
Language(s)
English
Rights
© 2024 European Symposium on Artificial Neural Networks, All rights reserved.
Publication Date
01 Jan 2015
