emlyon faculty: Pr. Bertrand Maillet

in collaborations with: Dr. Michele Costola, Economics Department, Ca’ Foscari University of Venice, Italy and Pr. Massimiliano Caporin, Department of Statistical Sciences, University of Padova, Italy.

After the major financial crisis of 2008, several systemic risk measures were proposed in the financial literature to quantify the magnitude of financial system distress. In this project in due progress, we suggest the construction of a novel overall meta-index for the measurement of systemic risk based on an AI/ML technique called Sparse Principal Component Analysis, applied here main systemic risk measures, with the ultimate aim of providing an index with a well-understood dynamic and proven explicit links to the stress of the financial system and future severe economic recessions, with a special dedicated attention to the aftermaths of the present on-going COVID19 crisis.