image thumbnail

Systemic Risk

version 3.5.0 (8.99 MB) by Tommaso Belluzzo
A framework for systemic risk valuation and analysis.

1.6K Downloads

Updated 02 Dec 2020

From GitHub

View license on GitHub

# INTRODUCTION #

This script calculates and analyses the following risk measures:

COMPONENT MEASURES
=> AR (Absorption Ratio) by Kritzman et al. (2010) https://doi.org/10.2139/ssrn.1633027
=> CATFIN by Allen et al. (2012) https://doi.org/10.1093/rfs/hhs094
=> CS (Correlation Surprise) by Kinlaw & Turkington (2012) https://doi.org/10.2139/ssrn.2133396
=> TI (Turbulence Index) by Kritzman & Li (2010) https://doi.org/10.2469/faj.v66.n5.3
=> Principal Component Analysis

CONNECTEDNESS MEASURES
=> DCI (Dynamic Causality Index)
=> CIO ("In & Out" Connections)
=> CIOO ("In & Out - Other" Connections)
=> Network Centralities: Betweenness, Degree, Closeness, Clustering, Eigenvector & Katz
--| References: Billio et al. (2011) https://doi.org/10.2139/ssrn.1963216

CROSS-ENTROPY MEASURES
=> JPoD (Joint Probability of Default)
=> FSI (Financial Stability Index)
=> PCE (Probability of Cascade Effects)
=> DiDe (Distress Dependency)
=> SI (Systemic Importance)
=> SV (Systemic Vulnerability)
=> CoJPoDs (Conditional Joint Probabilities of Default)
--| References: Segoviano & Goodhart (2009) http://doi.org/10.5089/9781451871517.001, Radev (2012) https://doi.org/10.2139/ssrn.2048585, Segoviano & Espinoza (2017) http://www.systemicrisk.ac.uk/publications/discussion-papers/consistent-measures-systemic-risk, Cortes et al. (2018) http://doi.org/10.5089/9781484338605.001

CROSS-QUANTILOGRAM MEASURES
=> Full Cross-Quantilograms
=> Partial Cross-Quantilograms
--| References: Han et al. (2016) https://doi.org/10.1016/j.jeconom.2016.03.001

CROSS-SECTIONAL MEASURES
=> Idiosyncratic Metrics: Beta, Value-at-Risk & Expected Shortfall
=> CAViaR (Conditional Autoregressive Value-at-Risk) by White et al. (2015) https://doi.org/10.1016/j.jeconom.2015.02.004
=> CoVaR and Delta CoVaR (Conditional Value-at-Risk) by Adrian & Brunnermeier (2008) https://doi.org/10.2139/ssrn.1269446
=> MES (Marginal Expected Shortfall) by Acharya et al. (2010) https://doi.org/10.2139/ssrn.1573171
=> SES (Systemic Expected Shortfall) by Acharya et al. (2010) https://doi.org/10.2139/ssrn.1573171
=> SRISK (Conditional Capital Shortfall Index) by Brownlees & Engle (2010) https://doi.org/10.2139/ssrn.1611229

DEFAULT MEASURES
=> D2C (Distance To Capital) by Chan-Lau & Sy (2007) https://doi.org/10.1057/palgrave.jbr.2350056
=> D2D (Distance To Default) by Vassalou & Xing (2004) https://doi.org/10.1111/j.1540-6261.2004.00650.x
=> DIP (Distress Insurance Premium) by Black et al. (2012) https://doi.org/10.2139/ssrn.2181645
=> SCCA (Systemic Contingent Claims Analysis) by Jobst & Gray (2013) https://doi.org/10.5089/9781475572780.001

LIQUIDITY MEASURES
=> ILLIQ (Illiquidity Measure) by Amihud (2002) https://doi.org/10.1016/S1386-4181(01)00024-6
=> RIS (Roll Implicit Spread) by Hasbrouck (2009) https://doi.org/10.1111/j.1540-6261.2009.01469.x
=> Classic Indicators: Hui-Heubel Liquidity Ratio, Turnover Ratio & Variance Ratio

REGIME-SWITCHING MEASURES
=> 2-States Model: High & Low Volatility
=> 3-States Model: High, Medium & Low Volatility
=> 4-States Model: High & Low Volatility With Corrections
=> AP (Average Probability of High Volatility)
=> JP (Joint Probability of High Volatility)
--| References: Billio et al. (2010) https://www.bis.org/bcbs/events/sfrworkshopprogramme/billio.pdf, Abdymomunov (2011) https://doi.org/10.2139/ssrn.1972255

SPILLOVER MEASURES
=> SI (Spillover Index)
=> Spillovers From & To
=> Net Spillovers
--| References: Diebold & Yilmaz (2008) https://doi.org/10.1111/j.1468-0297.2008.02208.x, Diebold & Yilmaz (2012) https://doi.org/10.1016/j.ijforecast.2011.02.006, Diebold & Yilmaz (2014) https://doi.org/10.1016/j.jeconom.2014.04.012

TAIL DEPENDENCE MEASURES
=> ACHI (Average Chi) by Balla et al. (2014) https://doi.org/10.1016/j.jfs.2014.10.002
=> ADR (Asymptotic Dependence Rate) by Balla et al. (2014) https://doi.org/10.1016/j.jfs.2014.10.002
=> FRM (Financial Risk Meter) by Mihoci et al. (2020) https://doi.org/10.1108/S0731-905320200000042016

Some of the aforementioned models have been adjusted and improved according to the methodologies described in the V-Lab Documentation (https://vlab.stern.nyu.edu/docs), which represents a great hub for systemic risk measurement.

# MORE INFORMATION #

Full description and documentation of the framework is published on the official GitHub repository:
https://github.com/TommasoBelluzzo/SystemicRisk

In case of issues, feel free to contact me at the following e-mail address:
tommaso [DOT] belluzzo [AT] gmail [DOT] com

Depending on OS (version, bitness, regional settings), Excel (version, bitness, regional settings) and/or MATLAB, the dataset parsing process might present issues. Due to the high number of users asking for help, support is no more guaranteed.

Cite As

Tommaso Belluzzo (2021). Systemic Risk (https://github.com/TommasoBelluzzo/SystemicRisk/releases/tag/v3.5.0), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2018a
Compatible with R2014b to R2020b
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.