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2017
- ISIDORE Id: 10670/1.fb74cb...
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Patrick Kouontchou et al., « When Unity Makes Strenght: A Systemic Risk Index », Revue économique, ID : 10670/1.fb74cb...
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In the aftermath of the last severe financial crisis, several systemic risk measures have been proposed in the literature for quantifying financial system-wide distress. In this article, we propose an aggregated index for financial systemic risk measurement based on Sparse Principal Component Analysis.This methodology helps to obtain an index with more stable time dynamics.The results obtained using financial US market data confirm the temporal stability property.It appears, finally, that positive extreme movements of the proposed Index of Systemic Risk Measures are leading indicators of periods of sharp economic downturn.Classification JEL : C45, C53, C58, G01, G11.
