Abstract
This chapter exploits the Self-Organizing Financial Stability Map (SOFSM) for tasks in macroprudential oversight. The SOFSM was created in Chap. 7, whereas the Self-Organizing Map (SOM) extensions used for exploiting it were introduced in Chap. 6. The tasks performed with the SOFSM are two, risk identification and assessment, of which the former is supported by early-warning models and the latter by macro stress-testing and contagion or spillover models. The three models target the three respective forms of systemic risk: widespread imbalances, aggregate shocks and contagion and spillover risk. Drawing upon Sarlin and Peltonen (2013) and Sarlin (2013), the SOFSM is exploited by the means of the eight approaches.
Lastly, novel methods such as self-organising financial stability maps provide an alternative means of gauging systemic stress through visual means—thereby providing a useful complement to numerical signalling methodologies.
– Vítor Constâncio, Vice-President of the ECB, Frankfurt am Main, 18 November 2010
This chapter is partly based upon previous research. Please see the following works for further information: Sarlin and Peltonen (2013), Sarlin (2013, 2014a)
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Notes
- 1.
Beyond the static representations herein, the implementation developed by infolytika provides an interactive, web-based interface to the SOFSM (http://risklab.fi/demo/macropru/fsm/). For a description, see Sarlin (2014a).
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Sarlin, P. (2014). Exploiting the SOFSM. In: Mapping Financial Stability. Computational Risk Management. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-54956-4_8
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