. The author wonders whether contagion risk among these cryptocurrencies happens or not in the event of crashing. We also …-plots. It also means the existence of contagion risk among these cryptocurrencies. The three methodologies namely Kendall …

, their application to systemic risk has been limited. With the advent of high frequency options panels we document a battery … of measures that can be used to measure and forecast systemic risk, these include computationally intensive dependency …

measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure … reveals that violations of key assumptions of the well-known Asymptotic Single-Risk Factor (ASRF) model are virtually … inconsequential. By contrast, flaws in the calibrated interdependence of credit risk across exposures, which are driven by plausible …

existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …