Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2015
We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently … for a prolonged time in the period leading up to the financial crisis. We test the adequacy of our newly pooled systemic …