 TrAffic LIght system for systemic Stress: TALIS3Massimiliano Caporin, Laura Garcia-Jorcano and Juan Jimenez-Martin The North American Journal of Economics and Finance, 2021, vol. 57, issue C Abstract: For the purposes of financial stability, identifying financial institutions that, when in distress, could have a significant adverse impact on financial markets is important. A TrAffic LIght System for Systemic Stress (TALIS-cube) is proposed that provides a comprehensive color-based classification for grouping companies according to both the stress reaction level of the system when the company is in distress and the company’s stress level. TALIS3 can integrate multiple signals from the interaction between different risk metrics. Starting from specific risk indicators, companies are classified by combining two loss functions—one for the system and one for each company—evaluated over time and as a cross section. An aggregated index is also obtained from the color-based classification of companies. TALIS3 can be used to enhance the performance and robustness of existing systemic risk measures. An empirical analysis of the U.S. market is also provided. Keywords: (B) Risk Analysis; Systemic Risk; CoVaR; Company rankings; Aggregated index (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000772 DOI: 10.1016/j.najef.2021.101449 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.