Mojtahedi, Fatemeh; Mojaverian, Seyed Mojtaba; … - In: Risks : open access journal 8 (2020) 3/78, pp. 1-17
This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditions. The model is applied to analyze both...