Risk spillover networks in financial system based on information theory

Research on Spillover Effects in Financial Risk

The research on spillover effect in financial markets is frontier theory and technology. The global financial crisis of 2007-2009 affects the stock markets deeply. But, the economic consequences are different among some cross-markets. As an emerging high-speed growth securities market established in 1990, the Chinese securities market has developed significantly. Again in the current internatio...

Extreme risk spillover network: application to financial institutions

Using the CAViaR tool to estimate the value-at-risk (VaR) and the Granger causality risk test to quantify extreme risk spillovers, we propose an extreme risk spillover network for analysing the interconnectedness across financial institutions. We construct extreme risk spillover networks at 1% and 5% risk levels (which we denote 1% and 5% VaR networks) based on the daily returns of 84 publicly ...

Extreme Risk Spillover in Financial Markets: Evidence from the Recent Financial Crisis

This paper evaluates the data from the recent financial crisis to examine the risk spillover effects of financial markets value at risk (VaR), which captures the extreme behavior of an asset, is considered a measure of risk in an asset or in a market. We hypothesize that an extreme downside movement of returns in a market measured by a VaR has negative effects on other markets, causing a simila...

Building an Islamic Financial Information System Based on Policy Managements

Information Theory for Risk-based Water System Operation

sS.V. Weijs and N. van de Giesen. "zipping" hydrological timeseries: An information-theoretical view ondata compression as philosophy of science. Geophysical Research Abstracts, 13:EGU2011–8105, 2011.S.V. Weijs and N. van de Giesen. Evaluating reliability and resolution of ensemble forecasts usinginformation theory. Geophysical Research Abstracts, 12:EGU2010-6489, 2010.S.V. ...