Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

In credit risk management migration matrices are major inputs for many applications, including the determination of Value-at-Risk or derivative pricing. After reviewing distance measures for migration matrices we motivate and propose new directed difference indices to measure changes in...