Abstract:
The main objective of the thesis is the construction of a systemic risk indicator based on the dispersion of the risk measures of the individual institutions of the system.
The thesis presents a brief introduction to the literature on systemic risk measures, focusing on the Marginal Expected Shortfall (MES) and the delta CoVaR, which consider not only the yield of an individual firm, but also the effect of its performance on the whole system, and on the connectedness measure between the financial institutions, which measures the relationship between the institutions.
We apply the systemic risk and the connectedness measures to the daily returns of the European financial institutions from the 1St January 1985 to 12th May 2014.
Finally, to aggregate the risk measures and build a systemic risk indicator, we estimate the measure entropy and find that the indicator has good forecasting abilities for the financial crisis.
