Title: A meta-analysis of systemic risk measures for gauging financial stability
Authors: Jean-Charles Garibal - Laboratoire Economie Orleans (France) [presenting]
Massimiliano Caporin - University of Padova (Italy)
Michele Costola - SAFE, Goethe University Frankfurt (Germany)
Bertrand Maillet - EMLyon Business School (CEFRA) (France)
Abstract: After the last major financial crisis of 2008, several systemic risk measures have been proposed in the financial literature as attempts for quantifying the magnitude of the financial system distress. We suggest the construction of an overall meta-index for the measurement of systemic risk based on a sparse principal component analysis of main systemic risk measures, which ultimately aims to provide an index with a more stable dynamic and which is explicitly linked to severe economic recessions.