This paper proposes a new class of copula-based dynamic models for high dimension conditional distributions, facilitating the estimation of a wide variety of measures of systemic risk. Our proposed models draw on successful ideas from the literature on modeling high dimension covariance matrices...

In this paper, we perform analysis of systemic risk in the financial and energy sector in Europe. In our investigation, we work with daily time series of CDS spreads. We employ factor copula model with GAS dynamics of Oh and Patton (2016) for estimation purposes of dependency structures between...

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...