Related papers: Risk contagion under regular variation and asympto…
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…
Accurately defining, measuring and mitigating risk is a cornerstone of financial risk management, especially in the presence of financial contagion. Traditional correlation-based risk assessment methods often struggle under volatile market…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
In the present work we analyse the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance companies reflect market sentiments…
In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-tailed risks are modeled using regular variation which leads to a…
Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-based M-estimator is proposed relying on bivariate margins…
In this paper, we discuss the application of extreme value theory in the context of stationary $\beta$-mixing sequences that belong to the Fr\'echet domain of attraction. In particular, we propose a methodology to construct bias-corrected…
The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual…
We introduce a new measure of interdependence among the components of a random vector along the main diagonal of the vector copula, i.e. along the line $u_{1}=\ldots=u_{J}$, for $\left(u_{1},\ldots,u_{J}\right)\in\left[0,1\right]^{J}$. Our…
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…
Tail dependence plays an essential role in the characterization of joint extreme events in multivariate data. However, most standard tail dependence parameters assume continuous margins. This note presents a form of tail dependence suitable…
Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric model. A new estimator for the unknown parameter is defined as…
The aim of this paper is to study the asymptotic behavior of a particular multivariate risk measure, the Covariate-Conditional-Tail-Expectation (CCTE), based on a multivariate statistical depth function. Depth functions have become…
Recent empirical and theoretical analyses of several commonly used prediction procedures reveal a peculiar risk behavior in high dimensions, referred to as double/multiple descent, in which the asymptotic risk is a non-monotonic function of…
The fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result in a higher level of volatility as well as domestic policy…
The relationship between a response variable and its covariates can vary significantly, especially in scenarios where covariates take on extremely high or low values. This paper introduces a max-linear tail regression model specifically…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
We consider a mean-variance portfolio selection problem in a financial market with contagion risk. The risky assets follow a jump-diffusion model, in which jumps are driven by a multivariate Hawkes process with mutual-excitation effect. The…