7 November 2013 - This is a update

Systemic Risk Indicators

Linkages and vulnerability of the financial system 

We will implement a battery of systemic risk measurement:


• Dynamic Conditional Correlations

• Copula functions and copula-based models

• Principal Component Analysis

• Regime-switching models

• Frailty models

• Dynamic latent component analysis

• Granger causality tests

• Shrinkage-based regressions

• Latent Class Analysis

• Contingent Claim Analysis (CCA)

• Dynamic Factor Models of Tail Real and Financial Risks

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