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- W2596875483 abstract "Due to the recent nancial crisis, several systemic risk mea- sures have been proposed in the literature for quantifying nancial system- wide distress. In this note we propose an aggregated Index for nancial systemic risk measurement based on EOF and ICA analyses on the several systemic risk measures released in the recent literature. We use this index to further identify the states of the market as suggested in Kouontchou et al. (7). We show, by characterizing markets conditions with a robust Ko- honen Self-Organizing Maps algorithm that this measure is directly linked to crises markets states and there is a strong link between return and systemic risk." @default.
- W2596875483 created "2017-03-23" @default.
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- W2596875483 date "2015-04-22" @default.
- W2596875483 modified "2023-09-23" @default.
- W2596875483 title "Towards a Tomographic Index of Systemic Risk Measures" @default.
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- W2596875483 hasPublicationYear "2015" @default.
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