May 11, 2012

After reaching its highest level end of 2011 (close to 250), the RP Quant Systemic Risk Index decreased during the first semester of 2012. On May 7th, its value was back to the pre-systemic risk alert period (125). But looking at the cyclical evolution of the index in the past, we cannot exclude that a new systemic risk alert could arise in 2012.

When looking at the cross-sector correlations, we can see that the situation is indeed better than late 2011: there is some diversification to be found between the industrial sectors today, as highlighted below by the evolution of the correlation map* through time.

* Each map represents the correlation matrix of the Dow Jones Industrial sectors (see legend to interpret the colors).