We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define...

We study the nonparametric calibration of exponential, self-decomposable Lévy models whose jump density can be characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity measure a := k(0+) + k(0-) and analog parameters for...

We study the nonparametric calibration of exponential, self-decomposable Levy models whose jump density can be characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity measure alpha:= k(0+) + k(0-) and analog parameters for...

We consider the estimation of the slope function in functional linear regression, where a scalar response Y is modelled in dependence of a random function X, when Y and only a panel Z <Subscript>1</Subscript>,…,Z <Subscript> L </Subscript> of noisy measurements of X are observable. Assuming an i.i.d. sample of (Y,Z <Subscript>1</Subscript>,…,Z <Subscript> L </Subscript>) of size n...</subscript></subscript></subscript></subscript>

There is significant current interest in the development of models to describe the day-to-day evolution of traffic flows over a network. We consider the problem of statistical inference for such models based on daily observations of traffic counts on a subset of network links. Like other...