This paper considers three measures of the systemic importance of a financial institution within an interconnected financial system. The measures are applied to study the relation between the size of a financial institution and its systemic importance. Both the theoretical model and empirical analysis reveal that, when analyzing the systemic risk posed by one financial institution to the system...

This note studies an issue relating to essential smoothness that can arise when the theory of large deviations is applied to a certain option pricing formula in the Heston model. The note identifies a gap, based on this issue, in the proof of Corollary 2.4 in [2] and describes how to circumvent it. This completes the proof of Corollary 2.4 in [2] and hence of the main result in [2], which descr...

We study the kth largest value, M (k) n , among the oospring of particles in the nth generation of a branching process with immigration. In particular, M (1) n gives the oospring of the most proliic particle in that generation. Limit theorems for M (k) n and EM (k) n are proved. The results are obtained by combining the extreme value theory methods and known results for the behavior of the popu...

Sometimes novel or outlier data has to be detected. The outliers may indicate some interesting rare event, or they should be disregarded because they cannot be reliably processed further. In the ideal case that the objects are represented by very good features, the genuine data forms a compact cluster and a good outlier measure is the distance to the cluster center. This paper proposes three ne...

1. My wife tells me that it’s raining, and as a result, I now have a reason to believe that it’s raining. But what kind of reason for belief does her testimony provide me with? According to the evidential view of testimony (EVT), what my wife’s testimony provides me with is evidence: evidence indicating that she believes that it’s raining, which then indicates that it is indeed raining. Until r...

The objective of this paper is to analyze short-term contagion effects in emerging currency markets. The originality of our paper lies in our survey used to present the microstructure of emerging currency markets and our empirical approach to contagion analysis through an estimation of tail dependence between pair currencies employing multivariate extreme value theory for the verification of re...

At very high energy the same universal relation between the multiparticle or the transverse energy distribution associated to a rare event C, P C and the corresponding minimum bias distribution P, P C (ν) ≡ ν/ < ν > P (ν), ν ≡ n or E T works for nucleus-nucleus collisions as well as for hadron-hadron collisions. This suggests that asymptotically, all hadronic processes are similar.

We have established in the previous lecture that under some assumptions on the Moment Generating Function (MGF) M(θ), an i.i.d. sequence of random variables Xi, 1 ≤ i ≤ n with mean μ satisfies P(Sn ≥ a) ≤ exp(−nI(a)), ; −1 where Sn = n Xi, and I(a) £ supθ(θa− log M(θ)) is the Legendre 1≤i≤n transform. The function I(a) is also commonly called the rate function in the theory of Large Deviations....

Required) All organizations abide by a dominant logic, which is the underlying motivation and strategies supporting business decisions. When there is a shift in dominant logic, which is a relatively rare event usually triggered by a change in the environmental landscape, new information systems to support these strategies must be created. We build on Watson et al. (2012)’s work by reporting on ...