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Quand l’union fait la force : un indice de risque systémique

Author

Listed:
  • Patrick Kouontchou
  • Bertrand Maillet
  • Alejandro Modesto
  • Sessi Tokpavi

Abstract

In the aftermath of the last severe financial crisis, several systemic risk measures have been proposed in the literature for quantifying financial system-wide distress. In this article, we propose an aggregated index for financial systemic risk measurement based on Sparse Principal Component Analysis.?This methodology helps to obtain an index with more stable time dynamics.?The results obtained using financial US market data confirm the temporal stability property.?It appears, finally, that positive extreme movements of the proposed Index of Systemic Risk Measures are leading indicators of periods of sharp economic downturn. Classification JEL : C45, C53, C58, G01, G11.

Suggested Citation

  • Patrick Kouontchou & Bertrand Maillet & Alejandro Modesto & Sessi Tokpavi, 2017. "Quand l’union fait la force : un indice de risque systémique," Revue économique, Presses de Sciences-Po, vol. 68(HS1), pages 87-106.
    • Handle: RePEc:cai:recosp:reco_hs02_0087
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    More about this item

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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