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