Modeling Financial Sector Joint Tail Risk in the Euro Area
提出一种高维非高斯建模框架，用于推断多家金融公司的条件与联合违约风险，并应用于2008-2012年欧元区金融危机，发现2011-2012年间尾部风险空前高，随后政策行动使其大幅下降。
Summary We develop a novel high‐dimensional non‐Gaussian modeling framework to infer measures of conditional and joint default risk for numerous financial sector firms. The model is based on a dynamic generalized hyperbolic skewed‐ t block equicorrelation copula with time‐varying volatility and dependence parameters that naturally accommodates asymmetries and heavy tails, as well as nonlinear and time‐varying default dependence. We apply a conditional law of large numbers in this setting to define joint and conditional risk measures that can be evaluated quickly and reliably. We apply the modeling framework to assess the joint risk from multiple defaults in the euro area during the 2008–2012 financial and sovereign debt crisis. We document unprecedented tail risks between 2011 and 2012, as well as their steep decline following subsequent policy actions. Copyright © 2016 John Wiley & Sons, Ltd.