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PROMETHEUS ANALYTICS offers a risk analysis and monitoring model following the approach developed by Diebold and Yilmaz (2009 and 2014).

Dernière version : 18 juillet, 2023

Rentability Analysis

Connectedness Measures

Pairwise Connectedness Measures

Net Pairwise Connectedness Measures

Total Connectedness Index (TCI)

JPM

BAC

WFC

MS

GS

SCHW

C

USB

RY

TD

BNS

HDFC

CBA

MUFG

BNP

UBSG

ITUB

SMFG

SAN

NAB

INGA

WBC

List

JPM: JPMorgan Chase & Co
BAC: Bank of America Corp
WFC: Wells Fargo & Company
MS: Morgan Stanley
GS: Goldman Sachs Group Inc
SCHW: Charles Schwab Corp
C: Citigroup Inc
USB: U.S. Bancorp
RY: Royal Bank of Canada
TD: Toronto Dominion Bank
BNS: Bank of Nova Scotia
HDFC: HDFC Bank Limited
CBA: Commonwealth Bank Of Australia
MUFG: Mitsubishi UFJ Financial Group Inc ADRs
BNP: BNP Paribas
UBSG: UBS Group AG
ITUB: Itau Unibanco Banco Holding SA
SMFG: Sumitomo Mitsui Financial Group Inc
SAN: Banco Santander
NAB: National Australia Bank Ltd
INGA: ING Groep NV
WBC: Westpac Banking Corp

Methodology

Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.

Volatility Analysis

Connectedness Measures

Pairwise Connectedness Measures

Net Pairwise Connectedness Measures

Total Connectedness Index (TCI)

JPM

BAC

WFC

MS

GS

SCHW

C

USB

RY

TD

BNS

HDFC

CBA

MUFG

BNP

UBSG

ITUB

SMFG

SAN

NAB

INGA

WBC

List

JPM: JPMorgan Chase & Co
BAC: Bank of America Corp
WFC: Wells Fargo & Company
MS: Morgan Stanley
GS: Goldman Sachs Group Inc
SCHW: Charles Schwab Corp
C: Citigroup Inc
USB: U.S. Bancorp
RY: Royal Bank of Canada
TD: Toronto Dominion Bank
BNS: Bank of Nova Scotia
HDFC: HDFC Bank Limited
CBA: Commonwealth Bank Of Australia
MUFG: Mitsubishi UFJ Financial Group Inc ADRs
BNP: BNP Paribas
UBSG: UBS Group AG
ITUB: Itau Unibanco Banco Holding SA
SMFG: Sumitomo Mitsui Financial Group Inc
SAN: Banco Santander
NAB: National Australia Bank Ltd
INGA: ING Groep NV
WBC: Westpac Banking Corp

Methodology

Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.