In the literature of risk analysis different synthetic indices are artificially built and in this work we propose to use the combination statistical procedure of theunivariate indices proposed by V-lab. The combination technique may also be considered to perform nonparametric inference. So we propose to highlight systemic risk in a network of companies performing a nonparametric test to reveal heterogeneity behaviour; in this case one ranking is used to create different behavioural groups.
|Data di pubblicazione:||2015|
|Titolo:||A nonparametric measure of riskness in financial systems|
|Titolo del libro:||Statistics and Demography: the Legacy of Corrado Gini|
|Appare nelle tipologie:||4.2 Abstract in Atti di convegno|