%0 Journal Article %A Rodney N. Sullivan %A Steven P. Peterson %A David T. Waltenbaugh %T Measuring Global Systemic Risk: What Are Markets Saying about Risk? %D 2010 %R 10.3905/jpm.2010.37.1.067 %J The Journal of Portfolio Management %P 67-77 %V 37 %N 1 %X Extreme market movements, especially in recent years, have prompted efforts to better understand the complexities of market dynamics. In this article, Sullivan, Peterson, and Waltenbaugh explore the features that characterize market environments through time. The authors first demonstrate how market distress impacts return distributions and then propose a global systemic risk indicator that jointly connects market conditions across asset classes using a multivariate failure model. The systemic risk barometer the authors devise determines how a set of complex, interconnected attributes coordinate to describe turbulent market environments and the likelihood that markets are either in or entering a crisis phase. By combining high-frequency information that measures changes in key variables across time and across markets, the proposed risk hazard model yields valuable insight into the changing nature of market risks over time, both within and across markets.TOPICS: Global, financial crises and financial market history, risk management %U https://jpm.pm-research.com/content/iijpormgmt/37/1/67.full.pdf