A compositional analysis of systemic risk in European financial institutions

Anna Maria Fiori () and Francesco Porro ()
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Anna Maria Fiori: Università degli Studi di Milano-Bicocca
Francesco Porro: Università degli Studi di Genova

Annals of Finance, 2023, vol. 19, issue 3, No 2, 325-354

Abstract: Abstract Systemic risk is a complex and multifaceted phenomenon that needs to be addressed from different perspectives. In this work we propose a Compositional Data (CoDa) approach to analyze the distribution of relative contributions to systemic risk associated with major European countries during the period 2008–2021. We represent systemic risk measures corresponding to those countries as percentage shares, or parts, of a compositional dataset and we perform a multivariate statistical analysis using specific CoDa procedures. The proposed approach sheds new light on some variability patterns and cross-country relationships that appear to be linked to the composition of systemic risk parts in the system.

Keywords: Systemic risk share; SRISK; Compositional Data (CoDa); Aitchison geometry; Logratio coordinates (search for similar items in EconPapers)
JEL-codes: C10 C40 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00427-0

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DOI: 10.1007/s10436-023-00427-0

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