Aggregating expert knowledge for the measurement of systemic risk

    Tutkimustuotos: LehtiartikkeliArtikkeliTieteellinenvertaisarvioitu

    17 Sitaatiot (Scopus)

    Abstrakti

    The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of financial supervisors. We decompose systemic risk into a number of interconnected segments, for which the level of vulnerability is measured. The system is modeled in the form of a Fuzzy Cognitive Map (FCM), in which nodes represent vulnerability in segments and links their interconnectedness. A main problem tackled in this paper is the aggregation of values in different interrelated nodes of the map to obtain an estimate of systemic risk. To this end, Choquet integral-based aggregation is employed to expert evaluations of measures, as it allows for the integration of interrelations among factors in the aggregation process. The approach is illustrated through two applications in a European setting. First, we provide an estimation of systemic risk with a Pan-European set-up. Second, we estimate country-level risks, allowing for a more granular decomposition. This sets a starting point for the use of the rich, oftentimes tacit, knowledge in policy organizations. (C) 2016 Elsevier B.V. All rights reserved.
    AlkuperäiskieliEi tiedossa
    Sivut38–50
    Sivumäärä13
    JulkaisuDecision Support Systems
    Vuosikerta88
    DOI - pysyväislinkit
    TilaJulkaistu - 2016
    OKM-julkaisutyyppiA1 Julkaistu artikkeli, soviteltu

    Keywords

    • Aggregation operators
    • Choquet integral
    • Fuzzy Cognitive Maps
    • Systemic risk

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