Fragility index of block tailed vectors

DOI10.1016/J.JSPI.2012.01.021zbMATH Open1408.62096arXiv1112.1490OpenAlexW1976062897MaRDI QIDQ419295FDOQ419295

Authors: Helena Ferreira, Marta Ferreira 

Publication date: 18 May 2012

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

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.

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

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zbMATH Keywords

tail dependencemultivariate extreme value theoryextremal coefficientsfragility index

Mathematics Subject Classification ID

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

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Cited In (9)

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

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