Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...

Der Value at Risk ist die am stärksten verbreitete Kennzahl zur Bestimmung des Risikos bei Finanzinstituten. Für diese gibt es bezüglich Theorie, Simulation und empirischer Anwendung bereits ein breites Spektrum an Literatur. Im Rahmen dieser Arbeit werden verschiedene Methoden zur Schätzung...

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...