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2015-08-03Buch DOI: 10.18452/4595
Conditional Systemic Risk with Penalized Copula
dc.contributor.authorOkhrin, Ostap
dc.contributor.authorRistig, Alexander
dc.contributor.authorSheen, Jeffrey
dc.contributor.authorTrück, Stefan
dc.date.accessioned2017-06-16T01:17:56Z
dc.date.available2017-06-16T01:17:56Z
dc.date.created2016-07-27
dc.date.issued2015-08-03
dc.date.submitted2015-08-03
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5247
dc.description.abstractFinancial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specification of conditional quantiles and simple to interpret. The proposed systemic risk measure relies on the contagion measure, whose tail behavior is theoretically studied. To emphasize contagion from extreme events, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are simultaneously estimated by imposing a non-concave penalty on the structure. Asymptotic properties of this sparse estimator are derived and small sample properties illustrated using simulations. We apply the proposed framework to investigate the interconnectedness between American, European and Australasian stock market indices, providing new and interesting insights into the relationship between systemic risk and contagion. In particular, our findings suggest that the systemic risk contribution from contagion in tail areas is typically lower during times of financial turmoil, while it can be significantly higher during periods of low volatility.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectConditional quantileeng
dc.subjectCopulaeng
dc.subjectFinancial contagioneng
dc.subjectSpill-over effecteng
dc.subjectStepwise penalized ML estimationeng
dc.subjectSystemic riskeng
dc.subjectTail dependenceeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleConditional Systemic Risk with Penalized Copula
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100239342
dc.identifier.doihttp://dx.doi.org/10.18452/4595
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages37
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2015
local.edoc.container-issue38
local.edoc.container-year2015
local.edoc.container-erstkatid2195055-6

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