Events and Meetings of Italian Statistical Society, Statistics and Demography: the Legacy of Corrado Gini

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Entropy and systemic risk measures
Michele Costola

Last modified: 2015-09-05

Abstract


The aim of this paper is the construction of an early warning indicator for systemic risk using entropy measures. The analysis is based on the cross-sectional distribution of marginal systemic risk measures such as Marginal Expected Shortfall, Delta CoVaR and network connectedness.  These measures are conceived at a single institution for the financial industry in the Euro area.Entropy indicators show forecasting abilities in predicting banking crises revealing to be an effective tool as early warning indicator.

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