A R-SOM Analysis of the Link between Financial Market Conditions and a Systemic Risk Index Based on ICA-Factors of Systemic Risk Measures

Patrick Kouontchou (), Amaury Lendasse, Alejandro Modesto, Peter Sarlin, Bertrand Maillet and Yoan Miche
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Patrick Kouontchou: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Amaury Lendasse: Aalto University
Alejandro Modesto: Arcada University of Applied Sciences
Peter Sarlin: Åbo Akademi University [Turku]
Bertrand Maillet: CNRS - Centre National de la Recherche Scientifique
Yoan Miche: Aalto University

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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.

Date: 2016-11-09
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Published in HICSS '16 Proceedings of the 2016 49th Hawaii International Conference on System Sciences (HICSS), IEEE Computer Society, p. 1759-1770, 2016, 978-0-7695-5670-3. ⟨10.1109/HICSS.2016.222⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03027884

DOI: 10.1109/HICSS.2016.222

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