2017/04/07 by Sabrina Mulinacci, Mulinacci, Sabrina
Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Financial Risk and Volatility Modeling #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Mathematical Finance (q-fin.MF)
paper · pdf · doi:10.48550/arxiv.1704.02160
openalex publication_date 2017/04/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common shock affecting all the lifetimes is assumed, some dependence is allowed between each idiosyncratic shock arrival time and the systemic shock arrival time. The dependence structure of the resulting distribution is studied through the analysis of its singularity and its associated copula function. Finally, the model is applied to the analysis of the systemic riskiness of those European banks classified as systemically important (SIFI).