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A R-SOM Analysis of the Link between Financial Market Conditions and a Systemic Risk Index Based on ICA-Factors of Systemic Risk Measures

Author

Listed:
  • Patrick Kouontchou

    (CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

  • Amaury Lendasse

    (Aalto University)

  • Alejandro Modesto

    (Arcada University of Applied Sciences)

  • Peter Sarlin

    (Åbo Akademi University [Turku])

  • Bertrand Maillet

    (CNRS - Centre National de la Recherche Scientifique)

  • Yoan Miche

    (Aalto University)

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.

Suggested Citation

  • Patrick Kouontchou & Amaury Lendasse & Alejandro Modesto & Peter Sarlin & Bertrand Maillet & Yoan Miche, 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," Post-Print hal-03027884, HAL.
    • Handle: RePEc:hal:journl:hal-03027884
    DOI: 10.1109/HICSS.2016.222
    as

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