Principal Components as a Measure of Systemic Risk
By Mark Kritzman, State Street Associates
Jun 1, 2011

By Mark Kritzman, Yuanzhen Li, Sebastien Page, and Roberto Rigobon.

Published in the Journal of Portfolio Management, Summer 2011.

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.

Insights logo
Learn more about Insights

Please contact us to learn more, subscribe or schedule a demo.