منابع مشابه
2 0 Fe b 20 02 Tail Dependence of Factor Models ∗
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also undergone a large loss) as a function of the parameters of the underlying factor model and of the tail parameters of the distributions of the factor and of the i...
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We model systemic risk by including a common factor exposure to market-wide shocks and an exposure to tail dependence effects arising from linkages among extreme stock returns. Specifically our model allows for the firm-specific impact of infrequent and extreme events. When a jump occurs, its impact is in the same direction for all firms (either positive or negative), but its size and volatilit...
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Abstract: The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and it has been extended to asymmetric models. In this paper we introduce generalized logistic multivariate distributions. Our tools are mixtures of co...
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Dependencies of extreme events (extremal dependencies) are attracting an increasing attention in modern risk management. In practice, the concept of tail dependence represents the current standard to describe the amount of extremal dependence. In theory, multivariate extreme-value theory (EVT) turns out to be the natural choice to model the latter dependencies. The present paper embeds tail dep...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.301266