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DTSTART:20250330T010000
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DTSTART;TZID=Europe/Helsinki:20250424T110000
DTEND;TZID=Europe/Helsinki:20250424T120000
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SUMMARY:Andreas HEINEN (Universite de Cergy-Pontoise.)  "Give and Take: Measuring Systemic Risk with Non-Exchangeable Dependence"
DESCRIPTION:Finance-Insurance\nTime: 11.00 am\nDate: 24th of April 2025\nRoom 3001 \nAndreas HEINEN (Universite de Cergy-Pontoise.) “Give and Take: Measuring Systemic Risk with Non-Exchangeable Dependence” \nAbstract : Non-exchangeable dependence breaks the symmetry between the response of an individual firm to market distress and the reaction of the market to individual firm distress. We use a non-exchangeable bivariate copula to model the joint distribution of the daily returns of a set of major U.S. financial institutions and of the market index for the 2001-2021 period. Based on this model\, we compute systemic risk measures such as CoVaR\, Exposure-CoVaR\, and MES. We derive closed-form expressions for CoVaR and MES\, that allow us to relate the shape parameters of the non-exchangeable Clayton copula\, to the notions of systemicness and vulnerability. We further backtest the systemic risk measures\, both in- and out-of-sample. We find that measuring systemic risk with a non-exchangeable copula outperforms its exchangeable counterpart. \nJoint Work : Sangwon Lee\, UCLY\, ESDES \nOrganizers:  Jean-David FERMANIAN \n  \n
URL:https://crest.science/event/andreas-heinen-universite-de-cergy-pontoise-t-b-a/
CATEGORIES:Finance-Insurance,Seminars
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