Fragility Index of block tailed vectors

Details Fragility Index of block tailed vectors Fragility Index of block tailed vectors

2011-12-07

arxiv.org/abs/1112.1490v1

Mathematics

Statistics Theory

Scientific paper

Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability. Multivariate extreme value theory provide us such a framework through the \emph{fragility index} (Geluk \cite{gel+}, \emph{et al.}, 2007; Falk and Tichy, \cite{falk+tichy1,falk+tichy2} 2010, 2011). Here we generalize this concept and contribute to the modeling of the stability of a stochastic system divided into blocks. We will find several relations with well-known tail dependence measures in literature, which will provide us immediate estimators. We end with an application to financial data.

Affiliated with

Also associated with

No associations

Rating

Fragility Index of block tailed vectors does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Fragility Index of block tailed vectors, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Fragility Index of block tailed vectors will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-594828