Title: New indicators in systemic risk analytics: Theory and applications
Authors: Mario Maggi - University of Pavia (Italy) [presenting]
Silvia Figini - University of Pavia (Italy)
Pierpaolo Uberti - University of Genoa (Italy)
Abstract: A novel class of indicators to forecast financial crises is presented. The proposal can also be viewed as a supplementary measure in financial systemic risk analysis. The family of indicators introduced is applied to different stock market indexes to assess the predictive ability to detect tensions in the financial market. Moreover, a comparison with alternative measures of systemic risk confirms the predictive ability and shows that our indicator's predicting power outperforms other measures proposed in the literature.