Back-testing a nine-dimension structural score on the 2008 financial crisis
Could a structural model built on public data have signalled 2008 in advance? Applied retroactively, the nine-dimension score places the system in a critical zone as early as 2006 (φ(S) = 0.234).
Talk abstract
We test whether a structural model built on public data could have signalled the 2008 crisis before it unfolded. The model scores nine dimensions of the financial system and aggregates them into a single indicator, φ(S). Applied retroactively, it places the system in a critical zone as early as 2006 (φ(S) = 0.234), well before the main institutional warnings.
The paper documents the data sources, the operator catalogue, the aggregation rule and the sensitivity of the result to each dimension. We discuss limits: look-ahead risk, parameter choice and the difficulty of validating a single historical episode. We then outline an out-of-sample protocol on later episodes (2000, 2020 and the 2025 to 2026 AI and crypto cycles).
Contribution
The contribution is a transparent, replicable structural indicator and an open question for academic review.
Format and audience
- Format: Paper presentation or poster
- Audience: academics and practitioners in finance and risk
Proof online
The figures in this talk can be checked on eqos-asia.com, the decision engine Stéphane Jambu presides.
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