reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may … increased dependence increases aggregate prevention expenditures, but not necessarily prevention expenditures for each risk due …

the financial risk management literature. Importantly, the proposed framework is intended to be applied to non … is relevant in applications concerning with extreme events. We show that the associated tail risk network can be used for … measuring systemic risk contributions. We also apply the framework to study international financial contagion and the impact of …