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.

Entropy and systemic risk measures

BILLIO, Monica;CASARIN, Roberto;COSTOLA, Michele;PASQUALINI, ANDREA
2015

Abstract

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.
Statistics and Demography: the Legacy of Corrado Gini
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/3662252
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