Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193519
Authors: 
Polanski, Arnold
Stoja, Evarist
Year of Publication: 
2016
Series/Report no.: 
ESRB Working Paper Series 12
Abstract: 
We define tail interdependence as a situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multiinformation to quantify tail interdependence, decompose it into systemic and residual interdependence and measure the contribution of a constituent to the interdependence of a system. Further, we devise statistical procedures to test: a) tail independence, b) whether an empirical interdependence structure is generated by a theoretical model and c) symmetry of the interdependence structure in the tails. We outline some additional extensions and illustrate this framework by applying it to several datasets.
Subjects: 
co-exceedance
Kullback-Leibler divergence
multi-information
relative entropy
risk contribution
risk interdependence
JEL: 
C12
C14
C52
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-39-0
Document Type: 
Working Paper
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