The aim of this paper is the construction of an early warning indicator for systemic risk using entropy measures. The analysis is based on the cross-sectional distribution of marginal systemic risk measures such as Marginal Expected Shortfall, Delta CoVaR and network connectedness. These measures are conceived at a single institution for the financial industry in the Euro area. Entropy indicators show forecasting abilities in predicting banking crises revealing to be an effective tool as early warning indicator.
|Data di pubblicazione:||2015|
|Titolo:||Entropy and systemic risk measures|
|Titolo del libro:||Statistics and Demography: the Legacy of Corrado Gini|
|Appare nelle tipologie:||4.1 Articolo in Atti di convegno|