Title: Systemic risk and severe real economy downturns: A sparse meta-analysis
Authors: Michele Costola - Ca' Foscari University of Venice (Italy) [presenting]
Massimiliano Caporin - University of Padova (Italy)
Bertrand Maillet - EMLyon Business School (CEFRA) (France)
Jean-Charles Garibal - Laboratoire Economie Orleans (France)
Abstract: After the major financial crisis of 2008, several systemic risk measures were proposed in the financial literature to quantify the magnitude of financial system distress. We suggest the construction of a novel overall meta-index for the measurement of systemic risk based on a sparse principal component analysis of main systemic risk measures, with the ultimate aim to provide an index with a sound dynamic and proven explicit links to the stress of the financial system and future severe economic recessions.