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
2015-01-01
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.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
3391-7744-1-PB.pdf
accesso aperto
Descrizione: sis2015b
Tipologia:
Documento in Post-print
Licenza:
Accesso chiuso-personale
Dimensione
65.86 kB
Formato
Adobe PDF
|
65.86 kB | Adobe PDF | Visualizza/Apri |
I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
