Extreme risk interdependence

Arbeitspapier

We define tail interdependence as a situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multiinformation to quantify tail interdependence, decompose it into systemic and residual interdependence and measure the contribution of a constituent to the interdependence of a system. Further, we devise statistical procedures to test: a) tail independence, b) whether an empirical interdependence structure is generated by a theoretical model and c) symmetry of the interdependence structure in the tails. We outline some additional extensions and illustrate this framework by applying it to several datasets.

Object Details

• ISBN: 978-92-95081-39-0
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ESRB Working Paper Series ; No. 12

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Semiparametric and Nonparametric Methods: General ; Model Evaluation, Validation, and Selection
• Subject: co-exceedance ; Kullback-Leibler divergence ; multi-information ; relative entropy ; risk contribution ; risk interdependence

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Polanski, Arnold ; Stoja, Evarist
• Event: Veröffentlichung
• (who): European Systemic Risk Board (ESRB), European System of Financial Supervision
• (where): Frankfurt a. M.
• (when): 2016

Further information

• DOI: doi:10.2849/75773
• Handle: http://hdl.handle.net/10419/193519
• Last update: 10.03.2025, 11:43 AM CET