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An entropy-based early warning indicator for systemic risk

Author

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  • Monica Billio

    (Department of Economics, University Of Venice C� Foscari)

  • Roberto Casarin

    (Department of Economics, University Of Venice C� Foscari)

  • Michele Costola

    (Department of Economics, University Of Venice C� Foscari)

  • Andrea Pasqualini

    (Department of Economics, University Of Venice C� Foscari)

Abstract

The purpose of this paper is the construction of an early warning indicator for systemic risk using entropy measures. The analysis is based on the cross-sectional distribution of marginal systemic risk measures such as Marginal Expected Shortfall, Delta CoVaR and network connectedness. These measures are conceived at a single institution for the financial industry in the Euro area. We estimate entropy on these measures by considering different definitions (Shannon, Tsallis and Renyi). Finally, we test if these entropy indicators show forecasting abilities in predicting banking crises. In this regard, we use the variable presented in Babeck? et al. (2012) and Alessi and Detken (2011) from European Central Bank. Entropy indicators show promising forecast abilities to predict financial and banking crisis. The proposed early warning signals reveal to be effective in forecasting financial distress conditions.

Suggested Citation

  • Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini, 2015. "An entropy-based early warning indicator for systemic risk," Working Papers 2015:09, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2015:09
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    More about this item

    Keywords

    Entropy; systemic risk measures; early warning indicators; aggregation.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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