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Extreme risk interdependence
Polanski, Arnold; Stoja, Evarist - 2016
We define tail interdependence as a situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multiinformation to quantify tail interdependence, decompose it into systemic and residual interdependence and measure the...
Persistent link: https://www.econbiz.de/10011974915
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Stress-testing of liquidity risk in TARGET2
Papsdorf, Patrick (contributor); Arciero, Luca (contributor) - Europäische Zentralbank / Group on TARGET2 Stress Testing - 2017
The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study …
Persistent link: https://www.econbiz.de/10011627053
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Tails and extremal behaviour of stochastic unit root models
Gouriéroux, Christian; Robert, Christian Yann - 2001
Persistent link: https://www.econbiz.de/10001626924
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Local likelihood density estimation and value at risk
Gouriéroux, Christian; Jasiak, Joann - 2001 - Rev. version
Persistent link: https://www.econbiz.de/10001626927
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Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent quantity during estimation. Only a limited number of...
Persistent link: https://www.econbiz.de/10011978764
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Production planning and inventories optimization : a backward approach in the convex storage cost case
Chazal, Marie; Jouini, Elyès; Tahraoui, Rabah - 2003
Persistent link: https://www.econbiz.de/10001900027
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SRISK : a conditional capital shortfall measure of systemic risk
Brownlees, Christian; Engle, Robert F. - 2017
We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall … of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to …
Persistent link: https://www.econbiz.de/10011975954
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Sovereign bond-backed securities : a VAR-for-VaR and marginal expected shortfall assessment
Sola Perea, Maite de; Dunne, Peter G.; Puhl, Martin; … - 2018
The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016 … ante tail risk and that, like the lowest-risk single-named sovereigns, it acts as a hedge against extreme adverse movements … in the yields on more junior tranches. The mezzanine SBBS has tail risk exposure similar to that of Italian and Spanish …
Persistent link: https://www.econbiz.de/10011848354
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Sensitivity analysis of var and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001812434
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Arbitrage and super-replication cost with convex constraints
Carassus, Laurence; Pham, Huyên; Touzi, Nizar - 1997
Persistent link: https://www.econbiz.de/10000980462