Tail Risk Interdependence
| Autor: | Evarist Stoja, Ching-Wai Chiu, Arnold Polanski |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
Stylized fact extreme risk interdependence 050208 finance Kullback–Leibler divergence relative entropy 05 social sciences risk contribution AF Financial Markets Residual Measure (mathematics) Distress Accounting 0502 economics and business systemic distress Econometrics Economics Systemic risk co-exceedance Tail risk 050207 economics Finance Statistical hypothesis testing |
| Zdroj: | Polanski, A, Stoja, E & Chiu, J 2020, ' Tail Risk Interdependence ', International Journal of Finance and Economics . https://doi.org/10.1002/ijfe.2077 |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3432364 |
| Popis: | We present a framework focused on the interdependence of high-dimensional tail events. This framework allows us to analyze and quantify tail interdependence at different levels of extremity, decompose it into systemic and residual part and to measure the contribution of a constituent to the interdependence of a system. In particular, tail interdependence can capture simultaneous distress of the constituents of a (financial or economic) system and measure its systemic risk. We investigate systemic distress in several financial datasets confirming some known stylized facts and discovering some new findings. Further, we devise statistical tests of interdependence in the tails and outline some additional extensions. |
| Databáze: | OpenAIRE |
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