Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects

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題名:	Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects
作者:	王志瑋;Chiu, Wan‐Chien;Peña, Juan Ignacio;Wang, Chih‐Wei
貢獻者:	管理學院財務金融學系
關鍵詞:	correlated jumps;Economic stress;Forecasting;International;Investment policy;Measurement;Measures;predictability;Risk;Risk factors;Risk management;Securities markets;Studies;systemic risk;tail dependence effects
日期:	2015-11-01
上傳時間:	2026-04-23 12:01:52 (UTC+8)
出版者:	Wiley-Blackwell Publishing Ltd;Oxford: Blackwell Publishing Ltd
摘要:	摘要： We model systemic risk using a common factor that accounts for market‐wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm‐specific impacts of infrequent and extreme events. Using data on the four sectors of the US financial industry from 1996 to 2011, we uncover two key empirical findings. First, disregarding the effect of the tail dependence factor leads to a downward bias in the measurement of systemic risk, especially during weak economic times. Second, when these measures serve as leading indicators of the St. Louis Fed Financial Stress Index, measures that include a tail dependence factor offer better forecasting ability than measures based on a common factor only. 出版者： Oxford: Blackwell Publishing Ltd 出版日期： 2015-11 出處： European financial management : the journal of the European Financial Management Association, 2015-11, Vol.21 (5), p.833-866 資源來源： Wiley Online Library - AutoHoldings Journals 版權： 2014 Blackwell Publishing Ltd 版權： 2015 John Wiley & Sons Ltd 識別號： ISSN: 1354-7798 識別號： EISSN: 1468-036X 識別號： DOI: 10.1111/eufm.12040
顯示於類別:	[財務金融學系] 期刊論文

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