Systemic risk is a complex and multifaceted phenomenon that needs to be addressed from different perspectives. In this work we propose a Compositional Data (CoDa) approach to analyze the distribution of relative contributions to systemic risk associated with major European countries during the period 2008-2021. We represent systemic risk measures corresponding to those countries as percentage shares, or parts, of a compositional dataset and we perform a multivariate statistical analysis using specific CoDa procedures. The proposed approach sheds new light on some variability patterns and cross-country relationships that appear to be linked to the composition of systemic risk parts in the system.

Fiori, A., Porro, F. (2023). A compositional analysis of systemic risk in European financial institutions. ANNALS OF FINANCE, 19(3), 325-354 [10.1007/s10436-023-00427-0].

A compositional analysis of systemic risk in European financial institutions

Fiori A. M.
;
Porro F.
2023

Abstract

Systemic risk is a complex and multifaceted phenomenon that needs to be addressed from different perspectives. In this work we propose a Compositional Data (CoDa) approach to analyze the distribution of relative contributions to systemic risk associated with major European countries during the period 2008-2021. We represent systemic risk measures corresponding to those countries as percentage shares, or parts, of a compositional dataset and we perform a multivariate statistical analysis using specific CoDa procedures. The proposed approach sheds new light on some variability patterns and cross-country relationships that appear to be linked to the composition of systemic risk parts in the system.
Articolo in rivista - Articolo scientifico
Aitchison geometry; Compositional Data (CoDa); Logratio coordinates; SRISK; Systemic risk share;
English
18-apr-2023
2023
19
3
325
354
open
Fiori, A., Porro, F. (2023). A compositional analysis of systemic risk in European financial institutions. ANNALS OF FINANCE, 19(3), 325-354 [10.1007/s10436-023-00427-0].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/416936
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