We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix...

In a world that is increasingly connected on-line, cyber risks become critical. Cyber risk management is very difficult, as cyber loss data are typically not disclosed. To mitigate the reputational risks associated with their disclosure, loss data may be collected in terms of ordered severity...

This paper extends the extreme downside correlations and hedge (EDC and EDH) methodology of Harris et al. (2019) to model the tail risk co-movement of financial assets under severe firm-level and market conditions. The model is applied to analyze both systematic and systemic exposures in the...

We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix...

The paper examines the relationships among market assets during stressful times, using two recently proposed econometric modeling techniques for tail risk measurement: the extreme downside hedge (EDH) and the extreme downside correlation (EDC). We extend both measures taking into account the...