Crisis risk prediction with concavity from Polymodel

Crisis and risk dependencies

The knowledge of the multivariate stochastic dependence between the returns of asset classes is of importance for many finance applications, such as, e.g., asset allocation or risk management. By means of goodness-of-fit tests, it is analyzed for a multitude of portfolios consisting of different asset classes whether the stochastic dependence between the portfolios’ constituents can be adequate...

Distinguishing Log-Concavity from Heavy Tails

Well-behaved densities are typically log-convex with heavy tails and log-concave with light ones. We discuss a benchmark for distinguishing between the two cases, based on the observation that large values of a sum X1 + X2 occur as result of a single big jump with heavy tails whereas X1, X2 are of equal order of magnitude in the light-tailed case. The method is based on the ratio |X1 − X2|/(X1 ...

Crisis Management and Reducing the Risk of Coronavirus Infection (with Emphasis on Iran's Capabilities)

Background and Objectives: The global outbreak of the coronavirus has posed a serious threat to the health and safety of the international community; A threat that, due to the intensity and scope of human communication and economic relations in todaychr('39')s world, knows no borders. Iranchr('39')s inclusion on the list of one of the main victims of the coronavirus, along with the difficulty o...

Correlations, risk and crisis: From physiology to finance

We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under load of similar factors is described: in crisis, typically, even before obvious symptoms of crisis appear, correlation increases, and, at the same time, variance (and volatility) increases too. After the crisis achieves its bottom, it can...

Risk Management Lessons from the Global Banking Crisis of 2008