Quand l’union fait la force: un indice de risque systémique

Patrick Kouontchou, Bertrand Maillet, Alejandro Modesto and Sessi Tokpavi

Revue économique, 2017, vol. 68, issue HS1, 87-106

Abstract: 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.

JEL-codes: C45 C53 C58 G01 G11 (search for similar items in EconPapers)
Date: 2017
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