Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

systemic sign in to follow this
tail sign in to follow this
dependence sign in to follow this
financial sign in to follow this
copula sign in to follow this

Stress Testing sign in to follow this
--Methods sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Weak and Strong Financial Fragility
Company: Tinbergen Institute
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: February
Pages: 49
Download Count: 243
View Count:
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 12-10-2007
Publisher: Administrator
The stability of the financial system at higher loss levels is either characterized by asymptotic dependence or asymptotic independence. Ifasymptotically independent, the dependency, when present, eventually dies outcompletely at the more extreme quantiles, as in case of the multivariate normaldistribution. Given that financial service firms' equity returns depend linearlyon the risk drivers, we show that the marginals' distributions maximum do-main of attraction determines the type of systemic (in-)stability. A scale forthe amount of dependency at high loss levels is designed. This permits a char-acterization of systemic risk inherent to different financial network structures.The theory also suggests the functional form of the economically relevant limitcopulas.
Geluk, Jaap Sign in to follow this author
De Haan, Laurens Sign in to follow this author
de Vries, Casper G. Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile