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The statistical combination procedure in measures for risk in financial systems

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  • Francesca Parpinel

    (Department of Economics, University Of Venice C� Foscari)

Abstract

In the literature of risk analysis different synthetic indices are built on the bases of some indicators and in this work we propose to use, alternatively to PCA, a combination statistical procedure. The univariate indices that we use are those proposed by _V-lab_ using a nonparametric combination of dependent rankings. The combination technique may also be considered to perform nonparametric inference, suitable to the treatment of non gaussian distributions as in the case of indices. So we propose to highlight systemic risk in a network of companies performing a nonparametric test to reveal heterogeneity behaviour; in this case the rankings may be used to create different behavioural groups.

Suggested Citation

  • Francesca Parpinel, 2015. "The statistical combination procedure in measures for risk in financial systems," Working Papers 2015:08, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2015:08
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    More about this item

    Keywords

    Systemic risk; ranking; nonparametric combination;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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