Systemic Risk Tomography

Monica Billio is Full Professor of Econometrics at Ca’ Foscari University of Venice, Italy. She is participating in many research projects financed by the European Commission, Eurostat and the Italian Ministry of Research. She was scientific co-coordinator of the SYRTO project. Loriana Pelizzon is Full Professor of Economics at Ca’ Foscari University of Venice, Italy. She is also the program director of the Systemic Risk Lab and Chair of Law and Finance at Research Centre SAFE at Goethe University in Frankfurt, Germany. Roberto Savona is Professor of Financial Markets and Institutions at the University of Brescia, Italy. He served as a Member of the Steering Committee of the Macro‐prudential Research Network – ECB. He was primary and scientific coordinator of the SYRTO project.

Part 1. Risk Connections and Systemic Risk Indicators

1. Systemic Risk via Dynamic Correlations by Petros Dellaportas, Anastasios Plataniotis and Michalis K. Titsias 
2. Systemic Risk and Financial Interconnectedness: Network Measures and the Impact of the Indirect Effect by Monica Billio, Michele Costola, Roberto Panzica and Loriana Pelizzon
3. Are Critical Slowing Down Indicators Useful to Detect Financial Crises? By Hayette Gatfaoui, Isabelle Nagot and Philippe De Peretti
4. Onset of Financial Instability Studied via Agent-based Models by Yi-Fang LIU, Jørgen Vitting-Andersen and Philippe De Peretti


Part 2. Early Warning System for Systemic Risk(s)
5. Score-driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads by Rutger-Jan Lange, André Lucas and Arjen Siegmann
6. Model-based Business Cycle and Financial Cycle Decomposition for Europe and the United States by Siem Jan Koopman, Rutger Lit and André Lucas
7. Danger Zones for the Financial System by Paolo Manasse, Roberto Savona and Marika Vezzoli
8. Risk Monitoring Systems in Real-time Based on Dynamic Factor Models by Marcella Lucchetta
Part 3. Policy Implications
9. Policy Lessons from Systemic Risk Modeling and Measurement by Arjen Siegmann