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Modeling time-varying tail dependence, with application to systemic risk forecasting

Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 5, pp. 1007-1037

Persistent link: https://www.econbiz.de/10013460046

A test for the portion of bivariate dependence in multivariate tail risk

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014

the stable tail dependence function, which is standard in extreme value theory for describing multivariate tail dependence … multivariate dependence structure in the tails is of higher dimension than two. Our test statistic is based on a decomposition of …

Persistent link: https://www.econbiz.de/10010246746

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638

Empirical tail copulas for functional data

Einmahl, John H. J.; Segers, Johan - 2020

Persistent link: https://www.econbiz.de/10012161555

Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach

De Luca, Giovanni; Guégan, Dominique; Rivieccio, Giorgia - In: Finance research letters 30 (2019), pp. 327-333

Persistent link: https://www.econbiz.de/10012420870

Tail copula estimation for heteroscedastic extremes

Einmahl, John H. J.; Chen Zhou - 2024

Persistent link: https://www.econbiz.de/10014467520

Statistical inference for a relative risk measure

He, Yi; Hou, Yanxi; Peng, Liang; Sheng, Jiliang - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 301-311

Persistent link: https://www.econbiz.de/10012177340

Markov Chain Monte Carlo methods for estimating systemic risk allocations

Koike, Takaaki; Hofert, Marius - In: Risks : open access journal 8 (2020) 1/6, pp. 1-33

In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution...

Persistent link: https://www.econbiz.de/10012204312

Non-Gaussian models for CoVaR estimation

Bianchi, Michele Leonardo; De Luca, Giovanni; … - In: International journal of forecasting 39 (2023) 1, pp. 391-404

Persistent link: https://www.econbiz.de/10014462788

Beyond dimension two : a test for higher-order tail risk

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014

extreme value theory for describing multivariate tail dependence. The asymptotic properties of the test are provided and a … test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce misleading … results. This occurs when a significant portion of the multivariate dependence structure in the tails is of higher dimension …

Persistent link: https://www.econbiz.de/10010402973