Modeling systemic risk contribution using copula / vorgelegt von M.Sc. Brice Hakwa Wemaguela. Wuppertal, [2016]
Inhalt
- Introduction
- Modeling Systemic Risk Contribution
- Financial System and Systemic Risk
- Basic Stochastic Model for Systemic Risk
- Systemic Crisis and Financial Extreme Events
- Financial Default and Extremes Events
- Contagion Effect and Extreme dependence
- Measuring the Dependencies of Extreme Events in Finance
- Measuring Systemic Risk Contribution using CoVaR-Method
- Notion of Copula
- CoVaR-Method using Copula.
- A General Expression for CoVaRs|i(l) using Copula
- Application to Gaussian Copula
- Criticisms on Gaussian Copula as a Model for Systemic Risk Contribution
- Application Non-Gaussian Copula
- Alternative Models for the Measurement of Systemic Risk Contribution
- Some Critical Notes on CoVaRs|Li=l
- CoVaRs|i may not captures Tail Dependence Effects
- CoVaRs|Li=l is not Consistent with the Notion Systemic Risk
- Alternative Measures
- Computing CoVaRs|i(l) under Elliptical Distribution
- Elliptical Distribution: Definition and basis Properties
- Elliptical distribution and Extreme Dependence
- Computing CoVaRs|i(l) when (Li, Ls)E2(, , )
- Applications
- Conclusion