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…od of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. The authors applied their methodology to disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently proposed….

…ors of the paper are Nikolaus Hautsch (University of Vienna) and Melanie Schienle (Leibniz University Hannover) ….

…orations of the European Union with the following objectives: Identify the common (fundamental) and the sector‐specific (idiosyncratic) risks, and assemble a web‐based Early Warnings System (EWS) to be used: (i) as risk barometer for each sector and countries alike, in order to identify potential threats to financial stability; (ii) as a system of rules of thumb by monitoring a series of leading indicators so as to minimise the possible negative i…

…Ignazio Angeloni – (European Central Bank) Director General Financial Stability, Chair of the Financial Stability Committee and of the Task Force on Supervision – talks about the key elements and the challenges of the European Banking Union.   This talk was presented during the First International Conference on the Syrto Project….

…ember of the Advisory Board of the SYRTO Project – Scientific Division. Ignazio Angeloni (European Central Bank), Director General Financial Stability, Chair of the Financial Stability Committee and of the Task Force on Supervision. Giovanni Dell’Ariccia (International Monetary Fund), Chief of the Macro-Financial Linkages Unit, Member of the Advisory Board of the SYRTO Project – Policy Division. Monica Billio (University Cà Foscari Venice), Scient…

…scheme delivers statistically and economically signi cant out-of-sample forecasts relative to both the historical average benchmark and the combined predictive mean regression modeling approach….

…A new SYRTO Working Paper by Michele Costola and Massimiliano Caporin is out. In this work, the authors present a rational learner agent, which considers the information coming from a behavioral counterpart during the allocation process. The authors support their methodological framework with an empirical analysis including all the assets present in the NASDAQ and NYSE stock exchange from September 1977 to December 2014….