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...

Although multi-asset portfolios are central in modern finance, the multivariate statistical estimation involved in portfolio selection and management is not an easy task. This article focuses on the problem of estimating the probability of multi-asset portfolio large losses. We present a...