دانلود مقاله ISI انگلیسی شماره 80133
ترجمه فارسی عنوان مقاله

شبیه سازی رابط شرطی برای تست استرس ریسک سیستماتیک

عنوان انگلیسی
Conditional copula simulation for systemic risk stress testing
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80133 2013 11 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Insurance: Mathematics and Economics, Volume 53, Issue 3, November 2013, Pages 722–732

ترجمه کلمات کلیدی
عضو رابط چند متغیره؛ نمونه برداری؛ عضو رابط تاک؛ ریسک سیستماتیک؛ تست استرس؛
کلمات کلیدی انگلیسی
Multivariate copula; Sampling; Vine copula; Systemic risk; Stress testing; CDS spreads
پیش نمایش مقاله
پیش نمایش مقاله  شبیه سازی رابط شرطی برای تست استرس ریسک سیستماتیک

چکیده انگلیسی

Since the financial crisis of 2007–2009 there is an active debate by regulators and academic researchers on systemic risk, with the aim of preventing similar crises in the future or at least reducing their impact. A major determinant of systemic risk is the interconnectedness of the international financial market. We propose to analyze interdependencies in the financial market using copulas, in particular using flexible vine copulas, which overcome limitations of the popular elliptical and Archimedean copulas. To investigate contagion effects among financial institutions, we develop methods for stress testing by exploiting the underlying dependence structure. New approaches for Archimedean and, especially, for vine copulas are derived. In a case study of 38 major international institutions, 20 insurers and 18 banks, we then analyze interdependencies of CDS spreads and perform a systemic risk stress test. The specified dependence model and the results from the stress test provide new insights into the interconnectedness of banks and insurers. In particular, the failure of a bank seems to constitute a larger systemic risk than the failure of an insurer.