Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/193519 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
ESRB Working Paper Series No. 12
Verlag: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
co-exceedance
Kullback-Leibler divergence
multi-information
relative entropy
risk contribution
risk interdependence
JEL: 
C12
C14
C52
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-95081-39-0
Dokumentart: 
Working Paper

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