Tail risk interdependence

Tail Risk and Equity Risk Premia

This paper develops a new semi-parametric estimation method based on an extended ICAPM dynamic model incorporating jump tails. Themodel allows for time-varying, asymmetric jumpsizedistributions and a self-exciting jump intensity process while avoiding commonly used but restrictive affine assumptions on the relationship between jump intensity andvolatility. The estimatedmodel implies that the av...

Cyber Insurance and IT Security Investment: Impact of Interdependence Risk

Networks of Economic Market Interdependence and Systemic Risk

The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the network of correlations to reveal the changing relationships among the financial, technology, and basic materials sectors with rising and falling markets and ...

Erratum: Reducing Cascading Failure Risk by Increasing Infrastructure Network Interdependence

This corrects the article DOI: 10.1038/srep44499.

Tail Risk of Multivariate Regular Variation

Tail risk refers to the risk associated with extreme values and is often affected by extremal dependence among multivariate extremes. Multivariate tail risk, as measured by a coherent risk measure of tail conditional expectation, is analyzed for multivariate regularly varying distributions. Asymptotic expressions for tail risk are established in terms of the intensity measure that characterizes...