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; Yoan Miche; Alejandro Modesto; Peter Sarlin; Bertrand Maillet

doi:10.1109/HICSS.2016.222

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, Yoan Miche, Alejandro Modesto, Peter Sarlin, Bertrand Maillet

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Scientific › peer-review

1 Citation (Scopus)

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.

Original language	English
Title of host publication	Proceedings of the 49th Annual Hawaii International Conference on System Sciences, HICSS 2016
Publisher	IEEE Computer Society
Pages	1759-1770
Number of pages	12
Volume	2016-March
ISBN (Electronic)	9780769556703
DOIs	https://doi.org/10.1109/HICSS.2016.222
Publication status	Published - 7 Mar 2016
MoE publication type	A4 Article in a conference publication
Event	Annual Hawaii International Conference on System Sciences - Koloa, United States Duration: 5 Jan 2016 → 8 Jan 2016 Conference number: 49

Conference

Conference	Annual Hawaii International Conference on System Sciences
Abbreviated title	HICSS
Country	United States
City	Koloa
Period	05/01/2016 → 08/01/2016

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10.1109/HICSS.2016.222

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Kouontchou, P., Lendasse, A., Miche, Y., Modesto, A., Sarlin, P., & Maillet, B. (2016). A R-SOM analysis of the link between financial market conditions and a systemic risk index based on ica-factors of systemic risk measures. In Proceedings of the 49th Annual Hawaii International Conference on System Sciences, HICSS 2016 (Vol. 2016-March, pp. 1759-1770). [7427402] IEEE Computer Society. https://doi.org/10.1109/HICSS.2016.222

Kouontchou, Patrick ; Lendasse, Amaury ; Miche, Yoan ; Modesto, Alejandro ; Sarlin, Peter ; Maillet, Bertrand. / A R-SOM analysis of the link between financial market conditions and a systemic risk index based on ica-factors of systemic risk measures. Proceedings of the 49th Annual Hawaii International Conference on System Sciences, HICSS 2016. Vol. 2016-March IEEE Computer Society, 2016. pp. 1759-1770

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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.",

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Kouontchou, P, Lendasse, A, Miche, Y, Modesto, A, Sarlin, P & Maillet, B 2016, A R-SOM analysis of the link between financial market conditions and a systemic risk index based on ica-factors of systemic risk measures. in Proceedings of the 49th Annual Hawaii International Conference on System Sciences, HICSS 2016. vol. 2016-March, 7427402, IEEE Computer Society, pp. 1759-1770, Annual Hawaii International Conference on System Sciences, Koloa, United States, 05/01/2016. https://doi.org/10.1109/HICSS.2016.222

A R-SOM analysis of the link between financial market conditions and a systemic risk index based on ica-factors of systemic risk measures. / Kouontchou, Patrick; Lendasse, Amaury; Miche, Yoan; Modesto, Alejandro; Sarlin, Peter; Maillet, Bertrand.

Proceedings of the 49th Annual Hawaii International Conference on System Sciences, HICSS 2016. Vol. 2016-March IEEE Computer Society, 2016. p. 1759-1770 7427402.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Scientific › peer-review

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Kouontchou P, Lendasse A, Miche Y, Modesto A, Sarlin P, Maillet B. A R-SOM analysis of the link between financial market conditions and a systemic risk index based on ica-factors of systemic risk measures. In Proceedings of the 49th Annual Hawaii International Conference on System Sciences, HICSS 2016. Vol. 2016-March. IEEE Computer Society. 2016. p. 1759-1770. 7427402 https://doi.org/10.1109/HICSS.2016.222