most citedMeasuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects

2 citations · 2 across the 1 of their papers we have counts for

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1 paper

q-fin.RM2022★ 2 cited

Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects

Wan-Chien Chiu, Juan Ignacio Peña, Chih-Wei Wang

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,…