Abstract:
Considering the effects generated by the recent financial crisis, and, given the ease with which a situation of financial distress caused impact beyond and outwith financial system, the concept of systemic risk has gained even more attention in the worldwide community. Despite many studies, there is no recognised single definition of systemic risk and as demonstrated by the existence of numerose metrics in the relative literature, finding effective measures to assess systemic risk is one of the toughest challenges for many individuals and institutions. The aimo of this work is to provide a measure of systemic risk through the use of three econometric methods: principal component analysis, Granger causality test and nonlinear causality test of Diks and Panchenko.
