Towards a Tomographic Index of Systemic Risk Measures

in Proceedings of the 23rd European Symposium on Artificial Neural Networks, Computational Intelligence and Machine Learning, ESANN 2015, Bruges, Belgium, April 22-23-24, 2015

Björk, Kaj-Mikael ; Kouontchou, Patrick ; Lendasse, Amaury ; Miche, Yoan ; Maillet, Bertrand (19..-....)

Ciaco 2015 - 543-548 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. [2013]. 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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