Measuring systemic risk using vine-copula
| Autor: | Farzad Alavi Fard, Laleh Tafakori, Armin Pourkhanali, Jong Min Kim |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Economics and Econometrics
Actuarial science media_common.quotation_subject 05 social sciences Financial risk management 01 natural sciences Interdependence Vine copula 010104 statistics & probability Probability of default 0502 economics and business Systemic risk Economics Credit derivative 050207 economics 0101 mathematics Partial correlation media_common Credit risk |
| Zdroj: | Economic Modelling. 53:63-74 |
| ISSN: | 0264-9993 |
| Popis: | We present an intuitive model of systemic risk to analyse the complex interdependencies between different borrowers. We characterise systemic risk by the way that financial institutions are interconnected. Using their probability of default, we classify different international financial institutions into five rating groups. Then we use the state-of-the-art canonical (C-) and D-vine copulae to investigate the partial correlation structure between the rating groups. Amongst many interesting findings, we discover that the second tier financial institutions pay a larger contribution to the systemic risk than the top tier borrowers. Further, we discuss an application of our methodology for pricing credit derivative swaps. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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