A compositional analysis of systemic risk in European financial institutions
نویسندگان
چکیده
Abstract Systemic risk is a complex and multifaceted phenomenon that needs to be addressed from different perspectives. In this work we propose Compositional Data (CoDa) approach analyze the distribution of relative contributions systemic associated with major European countries during period 2008–2021. We represent measures corresponding those as percentage shares, or parts, compositional dataset perform multivariate statistical analysis using specific CoDa procedures. The proposed sheds new light on some variability patterns cross-country relationships appear linked composition parts in system.
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ژورنال
عنوان ژورنال: Annals of Finance
سال: 2023
ISSN: ['1614-2446', '1614-2454']
DOI: https://doi.org/10.1007/s10436-023-00427-0