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

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A nonparametric measure of riskness in financial systems
Francesca Parpinel, Claudio Pizzi

Last modified: 2015-09-05

Abstract


In the literature of risk analysis different synthetic  indices are artificially built and in this work we propose to use the combination statistical procedure of theunivariate indices proposed by V-lab. The combination technique may also be considered to perform nonparametric inference. So we propose to highlight systemic risk in a network of companies performing a nonparametric test to reveal heterogeneity behaviour; in this case one ranking is used to create different behavioural groups.

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