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 HICSS '16 Proceedings of the 2016 49th Hawaii International Conference on System Sciences (HICSS)

Kouontchou, Patrick ; Lendasse, Amaury ; Miche, Yoan ; Modesto, Alejandro ; Sarlin, Peter ; Maillet, Bertrand (19..-....)

IEEE Computer Society 2016 - Ref. 10.1109/HICSS.2016.222 - 1759-1770 p.

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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