We analyze the time evolution of systemic risk in Europe by using different entropy measures and construct a new early warning indicator for banking crises. The analysis is based on the cross-sectional distribution of systemic risk measures such as Marginal Expected Shortfall, Delta CoVaR and network connectedness. These measures are conceived at a single institution level for the financial industry in the Euro area and capture different features of the financial market during periods of stress. The empirical analysis shows the forecasting ability of entropy measures in predicting banking crises.

An entropy-based early warning indicator for systemic risk

BILLIO, Monica;CASARIN, Roberto;COSTOLA, MICHELE;PASQUALINI, ANDREA
2016-01-01

Abstract

We analyze the time evolution of systemic risk in Europe by using different entropy measures and construct a new early warning indicator for banking crises. The analysis is based on the cross-sectional distribution of systemic risk measures such as Marginal Expected Shortfall, Delta CoVaR and network connectedness. These measures are conceived at a single institution level for the financial industry in the Euro area and capture different features of the financial market during periods of stress. The empirical analysis shows the forecasting ability of entropy measures in predicting banking crises.
File in questo prodotto:
File Dimensione Formato  
notblind.pdf

embargo fino al 05/08/2026

Tipologia: Documento in Post-print
Licenza: Accesso chiuso-personale
Dimensione 2.81 MB
Formato Adobe PDF
2.81 MB Adobe PDF   Visualizza/Apri

I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/3676332
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 49
  • ???jsp.display-item.citation.isi??? 43
social impact