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A Geographical Analysis of the Systemic Risk by a Compositional Data (CoDa) Approach

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

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  • Francesco Porro

    (Università degli Studi di Genova)

Abstract

After the financial crises in the last decades, the systemic risk is now recognized as an unavoidable issue to be constantly monitored. In this paper the contributions to the global systemic risk of different geographic areas are investigated. The analysis is performed by considering the aggregate systemic risk of the firms located in a specific geographic area as a part of the distribution of the global systemic risk. The techniques used for a such investigation are based on Compositional Data (CoDa) methodology, a quite recent approach very useful when the relevant information convoyed by the data is in the proportions among the parts and not in their absolute values or in their sum.

Suggested Citation

  • Francesco Porro, 2022. "A Geographical Analysis of the Systemic Risk by a Compositional Data (CoDa) Approach," Springer Books, in: Marco Corazza & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 383-389, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-99638-3_62
    DOI: 10.1007/978-3-030-99638-3_62
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