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Multivariate dependence of implied volatilities from equity options as measure of systemic risk
Jobst, Andreas A. - In: International Review of Financial Analysis 28 (2013) C, pp. 112-129
This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity … changes in the dependence structure in response to common shocks affecting individual risk profiles, possible linkages during … collapse of Lehman Brothers. The average (multivariate) dependence among a global sample of banks and insurance companies …
Persistent link: https://www.econbiz.de/10011056771
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The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-Jae - 2014
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to …
Persistent link: https://www.econbiz.de/10010368200
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Modeling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154
Persistent link: https://www.econbiz.de/10011704143
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The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - In: Journal of econometrics 193 (2016) 1, pp. 251-270
Persistent link: https://www.econbiz.de/10011704806
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Systemic risk : an asymptotic evaluation
Asimit, Alexandru V.; Li, Jinzhu - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 673-698
Persistent link: https://www.econbiz.de/10011875678
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The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - 2014
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to …
Persistent link: https://www.econbiz.de/10010245330
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Risks and vulnerabilities in the U.S. bond mutual fund industry
Bouveret, Antoine; Yu, Jie - 2021
contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond …
Persistent link: https://www.econbiz.de/10012605013
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Asymptotics for systemic risk with dependent heavy-tailed losses
Liu, Jiajun; Yang, Yang - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 571-605
Persistent link: https://www.econbiz.de/10012523256
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Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
Li, Jinzhu - In: Insurance / Mathematics & economics 107 (2022), pp. 38-56
Persistent link: https://www.econbiz.de/10013471098
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Default cascades: When does risk diversification increase stability?
Battiston, Stefano; Gatti, Domenico Delli; Gallegati, Mauro - In: Journal of Financial Stability 8 (2012) 3, pp. 138-149
We explore the dynamics of default cascades in a network of credit interlink-ages in which each agent is at the same time a borrower and a lender. When some counterparties of an agent default, the loss she experiences amounts to her total exposure to those counterparties. A possible conjecture...
Persistent link: https://www.econbiz.de/10010599315