A new approach to measure systemic risk: a bivariate copula model for dependent censored data

DOI10.1016/j.ejor.2019.06.027zbMath1431.91418OpenAlexW2949970007WikidataQ127625073 ScholiaQ127625073MaRDI QIDQ2315658

Raffaella Calabrese, Silvia Angela Osmetti

Publication date: 25 July 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://www.research.ed.ac.uk/en/publications/e1acb5fe-657c-4f1e-a12b-53244b05c810

zbMATH Keywords

systemic riskOR in bankingcopula modelscensored samplingpseudo-maximum likelihood estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Censored data models (62N01) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (8)

Min-infinite divisibility of the bivariate Marshall–Olkin copulas ⋮ Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ Wavelet block thresholding for copula density estimation under biased sampling ⋮ A simulation-based method for estimating systemic risk measures ⋮ Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods ⋮ Addressing systemic risk using contingent convertible debt -- a network analysis ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls ⋮ Fat tails, serial dependence, and implied volatility index connections

Uses Software

• CAViaR
• QRM
• bootstrap

Cites Work

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