Rethinking Valuation and Pricing Models

14

Measuring Systemic Risk from Country FundamentalsA Data Mining Approach

Roberto Savona and Marika Vezzoli

University of Brescia

Chapter Outline

14.1 Introduction

14.2 Financial Crises and Leading Indicators

14.2.1 Crisis definition

14.2.2 Economic and financial leading indicators

14.3 Financial Crises and Risk Signals

14.3.1 RT approach

14.3.2 CRAGGING

14.4 Analysis and Results

14.4.1 Predicting financial crises

14.4.2 MSRF

14.4.3 Explaining systemic risk

14.5 Conclusions

References

14.1 Introduction

The global financial turbulences that have occurred over the last 40 years have shown increasing interconnections among banking, sovereign, currency and inflation crises over time. The crises have become more and more complex to detect, due to ...