Cyclical Patterns in Risk Indicators Based on Financial Market Infrastructure Transaction Data

Abstract

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Outlier Detection in TARGET2 Risk Indicators

“…The table shows the 10 th to 90 th percentile and the auto correlation with lag 1 of these ten indicator time series. From these percentiles, we observe that the indicators are not normally distributed, which is in line with the findings in Timmermans et al (2018). In addition, Indicators 6 and 7 show a high degree of auto correlation, while indicators 2 to 4 and 8 to 10 have relatively weak correlation.…”

“…In the second column the description of the indicator is given and in the third column the type of Principle the indicator provides quantitative information on. We use this set of indicators to set up a more advanced outlier detection method than Timmermans et al (2018).…”

“…To determine whether a risk indicator shows unusual behavior (i.e. can be seen as an outlier) they use the univariate method of Timmermans et al (2018). 2 This method is an ARIMA model which corrects for weekly and monthly cyclical patterns.…”