The Market Rank Indicator: Measuring Financial Risk, Part 3
Roman R.
In the previous post of this series on measuring financial risk, I described the absorption ratio, a measure of financial market fragility based on principal components analysis, introduced in Kritzman et al.1. In this new blog post, I will describe another measure of financial distress called the market rank indicator (MRI), this time related to the notion of condition number2 of a matrix, introduced in Figini et al.2. As an example of usage, I will show how to use the market rank indicator to