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 proceedingConference contributionScientificpeer-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 languageEnglish
    Title of host publicationProceedings of the 49th Annual Hawaii International Conference on System Sciences, HICSS 2016
    PublisherIEEE Computer Society
    Pages1759-1770
    Number of pages12
    Volume2016-March
    ISBN (Electronic)9780769556703
    DOIs
    Publication statusPublished - 7 Mar 2016
    MoE publication typeA4 Article in a conference publication
    EventAnnual Hawaii International Conference on System Sciences - Koloa, United States
    Duration: 5 Jan 20168 Jan 2016
    Conference number: 49

    Conference

    ConferenceAnnual Hawaii International Conference on System Sciences
    Abbreviated titleHICSS
    CountryUnited States
    CityKoloa
    Period05/01/201608/01/2016

    Fingerprint Dive into the research topics of 'A R-SOM analysis of the link between financial market conditions and a systemic risk index based on ica-factors of systemic risk measures'. Together they form a unique fingerprint.

    Cite this