“Principal Components as a Measure of Systemic Risk” is Published in the Journal of Portfolio Management

Aug 26, 2011

“Principal Components as a Measure of Systemic Risk,” jointly authored by Windham President, Mark Kritzman and Windham Senior Research Associate, Yuanzhen Li has been published in the Summer 2011 Journal of Portfolio Management. The paper introduces the absorption ratio, which is a measure of implied systemic risk that captures the extent to which markets are unified or tightly coupled. Compact markets are more fragile because they enable shocks to spread more quickly and broadly than when markets are loosely linked.

For more information, please contact us.