Download or read book Estimating Tail Dependence and Testing for Contagion Using Tail Indices written by Carmela Quintos and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a measure of extremal correlation. Our measure of tail dependence does not require parametric specification of a copula (or dependence) function. It relies instead on the fact that moments of co-exceedances can be written in terms of tail indices. This simplifies the calculation of extremal dependence considerably for the tail index requires only an assumption on the asymptotic form of the tails rather than the full distribution. Furthermore, the distributional properties of extreme value estimators for the tail index are well known. This enables us to derive the distributional properties of our extremal correlation estimator, unlike the methods that rely on the specification of a copula where a closed form solution for the tail dependence parameter does not exist. Our estimator is Normally distributed so inference is straightforward. We illustrate the use of our statistic to testing for contagion in Asian markets and find a lack of a significant change in the extremal correlation before and after the crisis.
Download or read book Confronting Contagion written by Melvin Santer and published by Oxford University Press, USA. This book was released on 2015 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: A history of disease theory, from Classical Antiquity to modern times, discussing the various supposed causes to which people of different eras attributed disease.
Download or read book Option implied Network Measures of Tail Contagion and Stock Return Predictability written by Manuela Pedio and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A New Heuristic Measure of Fragility and Tail Risks written by Mr.Nassim N. Taleb and published by International Monetary Fund. This book was released on 2012-08-01 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be misleading in the presence of model error and the uncertainty attending parameters and their estimation. The heuristic can be seen as a second order stress test to detect nonlinearities in the tails that can lead to fragility, i.e., provide additional information on the robustness of stress tests. It also shows how the measure can be used to assess the robustness of public debt forecasts, an important issue in many countries. The heuristic measure outlined here can be used in a variety of situations to ascertain an ordinal ranking of fragility to tail risks.
Download or read book Contagion and Tail Risk in Complex Financial Networks written by Kumushoy Abduraimova and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Devil s Long Tail written by David Stevens and published by Oxford University Press. This book was released on 2015-02-28 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The internet may be a utopia for free expression, but it also harbours nihilistic groups and individuals spreading bizarre creeds, unhindered by the risk-averse gatekeepers of the mass media -- and not all are as harmless as the Virtual Church of the Blind Chihuahua or Sexastrianism. With few entry barriers, ready anonymity and no centralised control, the internet offers wired extremists unprecedented access to a potential global audience of billions. Technology allows us to select the information we wish to receive -- so those of a fanatical bent can filter out moderating voices and ignore countervailing arguments, retreating into a virtual world of their own design that reaffirms their views. In The Devil's Long Tail, Stevens and O'Hara argue that we misunderstand online extremism if we think intervention is the best way to counter it. Policies designed to disrupt radical networks fail because they ignore the factors that push people to the margins. Extremists are driven less by ideas than by the benefits of participating in a tightly-knit, self-defined, group. Rather, extreme ideas should be left to sink or swim in the internet's marketplace of ideas. The internet and the web are valuable creations of a free society. Censoring them impoverishes us all while leaving the radical impulse intact.
Download or read book Tail Contagion written by Cuong Cao Nguyen and published by . This book was released on 2016 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper applies non-parametric methods of Chi-plots and Kendall (K)-plots and three different copula functions to empirically examine the tail dependence between the U.S. stock market and stock markets in Vietnam and China in order to test contagion effect after the U.S. subprime mortgage crisis. The results indicate the presence of left tail dependence before and after the crisis suggesting no change in dependence structure but stronger left tail dependence between the U.S. and Vietnam stock markets. Thus, the US and Vietnam stock markets are more prone to crashing than booming together. Between the U.S. and Shanghai stock markets, the results provide evidence of a left tail dependence before the crisis, but no evidence of tail dependence after the crisis indicating that the dependence structure between U.S. and Shanghai stock markets changed after the crisis. On the contrary, the findings show that the Shenzhen stock market is independent of the U.S. market in both before and after crisis periods which imply that an extreme event in the U.S. market is less likely to influence the Shenzhen stock market. This suggests that there is significant potential for risk diversification by investing in the Shenzhen market by U. S. investors after the financial crisis. The results have not been documented in the existing literature and provide a new insight into risk diversification between the stock markets.
Download or read book Tail biting in pigs written by and published by BRILL. This book was released on 2024-08-26 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive overview of the issue of tail biting in pigs, one of the most significant welfare and economic problems in the pig industry. With contributions from renowned experts in their fields, it is an essential resource for both scientists, and industry stakeholders. Key topics include the evolutionary roots of the disorder, internal and external risk factors, methods that can be used to address the issue, including human behavioural change, and the wider economic, and ethical considerations. Finally, evidence is provided as to how an intact tail can be used as an ice-berg indicator for overall pig welfare.
Download or read book The Devil s Long Tail written by David Stevens (Lecturer in political theory) and published by Oxford University Press. This book was released on 2015 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Highlights how nihilistic groups are harnessing the power of the internet to reach a potential global audience of billions
Download or read book Computational Network Theory written by Matthias Dehmer and published by John Wiley & Sons. This book was released on 2015-05-04 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diese umfassende Einführung in die rechnergestützte Netzwerktheorie als ein Zweig der Netzwerktheorie baut auf dem Grundsatz auf, dass solche Netzwerke als Werkzeuge zu verstehen sind, mit denen sich durch die Anwendung rechnergestützter Verfahren auf große Mengen an Netzwerkdaten Hypothesen ableiten und verifizieren lassen. Ein Team aus erfahrenden Herausgebern und renommierten Autoren aus der ganzen Welt präsentieren und erläutern eine Vielzahl von repräsentativen Methoden der rechnergestützten Netzwerktheorie, die sich aus der Graphentheorie, rechnergestützten und statistischen Verfahren ableiten. Dieses Referenzwerk überzeugt durch einen einheitlichen Aufbau und Stil und eignet sich auch für Kurse zu rechnergestützten Netzwerken.
Download or read book A Gradient Boosting Approach to Estimating Tail Risk Contagion written by Yunshen Long and published by . This book was released on 2020 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a flexible CoVaR-based measure to estimate the tail risk contagion across financial institutes in a high dimensional framework. Considering potential nonlinearity and interaction among the financial institutes, a single-index indicator representing directed spillover is derived from Gradient Boosting Machine based generalized quantile regression. Our approach can be utilized to monitor risk spillover channels for risk supervision. Empirically, we investigate 16 publicly-listed banks in China with our proposed method. We show the outperformance of our method over the linear model. The empirical study suggests that the tail risk is inclined to spill over into the same type of banks. Besides, we find that not only state-owned banks are systemically important, but small and medium banks can play key roles in tail risk contagion, too. The total connectedness peaks when the financial system is under distress.
Download or read book Interconnectedness and Contagion Analysis A Practical Framework written by Mrs.Jana Bricco and published by International Monetary Fund. This book was released on 2019-10-11 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
Download or read book Aggregation Functions in Theory and in Practise written by Humberto Bustince Sola and published by Springer Science & Business Media. This book was released on 2013-06-20 with total page 535 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects the extended abstracts of 45 contributions of participants to the Seventh International Summer School on Aggregation Operators (AGOP 2013), held at Pamplona in July, 16-20, 2013. These contributions cover a very broad range, from the purely theoretical ones to those with a more applied focus. Moreover, the summaries of the plenary talks and tutorials given at the same workshop are included. Together they provide a good overview of recent trends in research in aggregation functions which can be of interest to both researchers in Physics or Mathematics working on the theoretical basis of aggregation functions, and to engineers who require them for applications.
Download or read book Network Science written by Ted G. Lewis and published by John Wiley & Sons. This book was released on 2011-09-20 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive look at the emerging science of networks Network science helps you design faster, more resilient communication networks; revise infrastructure systems such as electrical power grids, telecommunications networks, and airline routes; model market dynamics; understand synchronization in biological systems; and analyze social interactions among people. This is the first book to take a comprehensive look at this emerging science. It examines the various kinds of networks (regular, random, small-world, influence, scale-free, and social) and applies network processes and behaviors to emergence, epidemics, synchrony, and risk. The book's uniqueness lies in its integration of concepts across computer science, biology, physics, social network analysis, economics, and marketing. The book is divided into easy-to-understand topical chapters and the presentation is augmented with clear illustrations, problems and answers, examples, applications, tutorials, and a discussion of related Java software. Chapters cover: Origins Graphs Regular Networks Random Networks Small-World Networks Scale-Free Networks Emergence Epidemics Synchrony Influence Networks Vulnerability Net Gain Biology This book offers a new understanding and interpretation of the field of network science. It is an indispensable resource for researchers, professionals, and technicians in engineering, computing, and biology. It also serves as a valuable textbook for advanced undergraduate and graduate courses in related fields of study.
Download or read book IMF Staff Papers Volume 51 No 2 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2004-07-29 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second issue for 2004 contains 8 new papers, including notable contributions from: Nancy Brune, Geoffrey Garrett, and Bruce Kogut on the global spread of privatization; and Mark P. Taylor and Elena T. Branson on asymmetric arbitrage and default premiums in the U.S. and Russian markets. Other papers in the issue look at German wage structures, contagion in equity markets, export orientation and productivity in Sub-Saharan Africa, the role of higher vs. basic education in economic development, and issues related to capital account liberalization.
Download or read book Mathematical and Statistical Models and Methods in Reliability written by V.V. Rykov and published by Springer Science & Business Media. This book was released on 2010-11-02 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is a selection of invited chapters, all of which deal with various aspects of mathematical and statistical models and methods in reliability. Written by renowned experts in the field of reliability, the contributions cover a wide range of applications, reflecting recent developments in areas such as survival analysis, aging, lifetime data analysis, artificial intelligence, medicine, carcinogenesis studies, nuclear power, financial modeling, aircraft engineering, quality control, and transportation. Mathematical and Statistical Models and Methods in Reliability is an excellent reference text for researchers and practitioners in applied probability and statistics, industrial statistics, engineering, medicine, finance, transportation, the oil and gas industry, and artificial intelligence.
Download or read book Financial Contagion written by Rob Quail and published by John Wiley & Sons. This book was released on 2011-02-09 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Financial Contagion: The Viral Threat to the Wealth of Nations covers a lot of territory. It is, of course, terribly important to analyze case histories to discover potential triggers, mechanisms of transmission, and viable ways to contain the damage of financial contagion. The problem is, as these articles amply demonstrate, that there’s always a new virus or a mutation of a former one lurking in some corner of the financial world. We don’t know what it is or where it is. And, even if we had some inkling, there’s almost never enough time to develop a financial flu shot." --SeekingAlpha.com The latest insights on financial contagion and how both nations and investors can effectively deal with it. The domino-style structure in which the financial system exists is a perilous one. Although historically, the financial system has been able to deal with major shocks, the fact remains that our financial system is not as secure as it should be. Recent years have brought about too many examples of contagion and systemic risk. That is why Financial Contagion is such an important read. In it, the serious concerns that revolve around our fragile economic system are investigated, researched, and explained. Throughout the book, Kolb offers valuable insights on this dilemma as he compiles the history of financial contagion, highlights the latest research on systemic failure and interrelated markets, and analyzes the risks and consequences we face moving forward. Examines the importance of careful regulation and what must be done to stabilize the global financial system Includes contributed chapters from both academics and experienced professionals, offering a variety of perspectives and a rich interplay of ideas Details how close we are to witnessing a financial contagion that could devastate the world economy We have been harshly reminded of how fragile our economic ecosystem is. With Financial Contagion, you'll hold a better understanding of what needs to be done to strengthen our system and safeguard our financial future.
