Visual Macroprudential Surveillance of Banks

We create a tool for visual surveillance of the European banking system from a macroprudential perspective. The tool performs visual dynamic clustering with the self-organizing time map SOTM to visualize evolving multivariate data from two viewpoints: i multivariate cluster structures, and ii univariate drivers of changes in structures. In assessing the European banking system, the main tasks the SOTM can be used for are i identifying structural changes and breaking points in a large number of risk indicators, and their specific location in the cross-section, and ii identifying the build-up of, or generally changes in, individual risk indicators in the banking system as a whole. While the former view provides indications of changes in the banking system, the latter describes the sources of these changes. Copyright © 2016 John Wiley & Sons, Ltd.

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