June 1, 2011
Journal Articles
Complimentary CONTENT
Principal Components as a Measure of Systemic Risk
By: Mark Kritzman, State Street Associates
June 1, 2011
By: Mark Kritzman, State Street Associates
Awards Bernstein-Fabozzi/Jacobs-Levy Award
For Outstanding Article in the Journal of Portfolio Management in 2012
By Mark Kritzman, Yuanzhen Li, Sebastien Page, and Roberto Rigobon.
Published in the Journal of Portfolio Management, Summer 2011 recipient of the 2012 Bernstein Fabozzi/Jacobs Levy Outstanding Article Award.
We introduce a method for inferring systemic risk from asset prices, and show how investors might use the absorption ratio as an early warning signal of market stress.
Author Bios
Mark Kritzman
Mark Kritzman is a senior lecturer at MIT Sloan School of Management and a founding partner of State Street Associates
State Street Associates
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.