https://www.linkedin.com/feed/update/urn:li:activity:7333812220969074688/

AlphaAdder US Banking System Risk Index and US Banking System Status Tool Forthcoming.

 "Have been looking at the details of the Systemic Risk Index produced by the Federal Reserve Bank of Cleveland. https://lnkd.in/gKwm8zTA

It is a coincident indicator. It could be much more.
It reflects all currently known information about the ETF KBE, with applied classical and generally accepted methods.
Of course, from a Complexity/Self-Organizing Practitioner's perspective, this has important implications for what it does not and cannot do.
It cannot and does not Identify Self-Organizing towards Criticality, Criticality, or Phase, all of which would be useful to truly identify Banking Systemic Risk. This would allow us to determine when the banking system is truly susceptible to a random unforeseen event, causing a crash, or know that a random unforeseen event won't cause a crash. (AA calls that “System Status”- Is it Susceptible or Not Susceptible to the Random Unforeseen event)
Further, one might do the above on the individual banks in the KBE index to identify company-specific risk.
Systemic Risk Consulting's AlphaAdder has been doing this successfully on the S&P 500 since 2005."