Dependent Metaverse Risk Forecasts with Heteroskedastic Models and Ensemble Learning
Risks, 2023 Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms.
Khreshna Syuhada +2 more
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A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling
Entropy, 2020 We investigate the dynamics of systemic risk of European companies using an approach that merges paradigmatic risk measures such as Marginal Expected Shortfall, CoVaR, and Delta CoVaR, with a Bayesian entropy estimation method. Our purpose is to bring to
Radu Lupu +3 more
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Quantile-based methods for prediction, risk measurement and inference [PDF]
, 2010 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.The focus of this thesis is on the employment of theoretical and practical quantile methods in addressing prediction, risk measurement and inference ...
Ally, Abdallah K
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Nonlinear spillover effect of us monetary policy uncertainty on China’s systematic financial risks
Journal of Business Economics and Management, 2022 Monetary policy uncertainty (MPU) not only imposes a great impact on the systematic financial risks of a country but also generates a significant spillover effect on countries having close economic exchanges with the former under the background of global
Zhigang Ouyang +3 more
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The Leaders, the Laggers, and the “Vulnerables”
Risks, 2020 We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing two global weekly rebalanced indices.
Veni Arakelian, Shatha Qamhieh Hashem
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Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
Risks, 2020 In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth
Takaaki Koike, Marius Hofert
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Individual contributions to portfolio risk: risk decomposition for the BET-FI index [PDF]
Computational Methods in Social Sciences, 2015 The paper applies Euler formula for decomposing the standard deviation and the Expected Shortfall for the BET-FI equity index. Risk attribution allows the decomposition of the total risk of the portfolio in individual risk units.
Marius ACATRINEI
doaj
SPECULATIVE BUBBLE DYNAMICS AND SYSTEMIC RISK IN SHADOW BANKING INSTITUTIONS: EVIDENCE FROM THE UNITED STATES AND EUROPE [PDF]
Financial StudiesThis study investigates speculative bubble dynamics and systemic risk characteristics among listed shadow banking institutions in the United States and Europe over the period 2010–2026.
Andreea Elena CROICU
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Modified marginal expected shortfall under asymptotic dependence [PDF]
, 2021 We propose an estimator of the marginal expected shortfall by considering a log transformation of a variable which has an infinite expectation. We establish the asymptotic normality of our estimator under general assumptions.
Cai, J.-J +2 more
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MIDAS models in banking sector – systemic risk comparison
Managerial Economics, 2018 This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in
Henryk Gurgul +2 more
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