2011/12/07 by Helena Ferreira, Marta Ferreira, Ferreira, Helena +2
Economics, Econometrics and Finance · Mathematics · #60G70 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Statistics Theory (math.ST) #math.ST #msc:60G70 #stat.TH
paper · pdf · doi:10.48550/arxiv.1112.1490
arxiv created 2011/12/07 · openalex publication_date 2011/12/07 · arxiv updated 2011/12/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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 fragility index (Geluk \citegel+, et al., 2007; Falk and Tichy, \citefalk+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.