Fragility index of block tailed vectors

DOI10.1016/J.JSPI.2012.01.021MaRDI QIDQ419295zbMATH OpenOpenAlexFDO

Authors Helena Ferreira, Marta Ferreira

Publication date 18 May 2012

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.1490

zbMATH Keywords

extremal coefficientsfragility indexmultivariate extreme value theorytail dependence

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability. Multivariate extreme value theory provide us such a framework through the emph{fragility index} (Geluk cite{gel+}, emph{et al.}, 2007; Falk and Tichy, cite{falk+tichy1,falk+tichy2} 2010, 2011). Here we generalize this concept and contribute to the modeling of the stability of a stochastic system divided into blocks. We will find several relations with well-known tail dependence measures in literature, which will provide us immediate estimators. We end with an application to financial data.

Recommendations

• Asymptotic conditional distribution of exceedance counts: fragility index with different margins
• On extremal dependence of block vectors
• Foreword
• Extreme residual dependence for random vectors and processes
• scientific article; zbMATH DE number 5220427

Cites work

• A multivariate piecing-together approach with an application to operational loss data
• Asymptotic conditional distribution of exceedance counts
• Asymptotic conditional distribution of exceedance counts: fragility index with different margins
• Bivariate extreme statistics. I
• Bivariate tail estimation: dependence in asymptotic independence
• Bounds for functions of dependent risks
• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Measurement of aggregate risk with copulas
• Multivariate extremes, aggregation and risk estimation
• Non-parametric Estimation of Tail Dependence
• Orthant tail dependence of multivariate extreme value distributions
• Sea and wind: multivariate extremes at work
• Statistics for near independence in multivariate extreme values
• Statistics of Extremes
• Tail dependence between order statistics
• Tail order and intermediate tail dependence of multivariate copulas

Cited in

(9)

• Asymptotic conditional distribution of exceedance counts: fragility index with different margins
• Mathematical definition, mapping, and detection of (anti)fragility
• A statistical procedure for representing state fragility and transition paths
• Bivariate tail dependence and the generation of multivariate extreme value distributions
• GENERAL CHARACTERIZATION OF SOME STATISTICAL TOOLS FOR MEASURING ASYMPTOTIC DEPENDENCE
• Tail dependence under sample failures
• Geostatistical analysis with copula-based models of madograms, correlograms and variograms
• A new blocks estimator for the extremal index
• A crossinggram for random fields on lattices

This page was built for publication: Fragility index of block tailed vectors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419295)