In this study we disentangle two dimensions of banks' systemic risk: the level of bank tail risk and the linkage between a bank's tail risk and severe shocks in the financial system. We employ a measure of the systemic risk of financial institutions that can be decomposed into two subcomponents...

Let X={X(s)}s∈S be an almost sure continuous stochastic process (S compact subset of Rd) in the domain of attraction of some max-stable process, with index function constant over S. We study the tail distribution of ∫SX(s)ds, which turns out to be of Generalized Pareto type with an extra...

By proposing a measure for cross-market rebalancing effects, we provide new insights into the different sources of currency crises. We address three interrelated questions: (i) How can we best capture contagion; (ii) Is the contagion of currency crisis a regional or global phenomenon?; and (iii)...

Survey evidence indicates that inflation expectations increased after HICP inflation rose markedly in the course of 2007 and the first half of 2008, underpinning a general view that inflation expectations may have become unanchored from the ECB's target. However, until now there has been no...

In extreme value analysis, staring from Smith (1987) [1], the maximum likelihood procedure is applied in estimating the shape parameter of tails--the extreme value index [gamma]. For its theoretical properties, Zhou (2009) [12] proved that the maximum likelihood estimator eventually exists and...

We investigate whether the anchoring properties of long-run inflation expectations in the United States, the euro area and the United Kingdom have changed around the economic crisis that erupted in mid-2007. We document that in these three economies, expectations measures extracted from...

In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value Theory (EVT) framework. We consider the heavy-tailedness of the risk factors as well as the non-parametric tail dependence structure. This allows a large range of models on the...

Internet auctions attract numerous agents, but only a few become active bidders. A major difficulty in the structural analysis of internet auctions is that the number of potential bidders is unknown. Under the independent private value paradigm (IPVP)the valuations of the active bidders form a...

The paper is about the asymptotic properties of the maximum likelihood estimator for the extreme value index. Under the second order condition, Drees et al. [H. Drees, A. Ferreira, L. de Haan, On maximum likelihood estimation of the extreme value index, Ann. Appl. Probab. 14 (2004) 1179-1201]...

During the Great Crisis, most governments in industrial countries supported their domestic financial sector under stress and responded to strong declines in output growth with fiscal stimulus packages. Starting in 2010, attention focused on the sustainability of the resulting debt burdens. We...