Autre Publication Scientifique Documents de travail du Centre d'Économie de la Sorbonne Année : 2014

The kiss of information theory that captures systemic risk

Résumé

We provide a new approach to understanding systemic risk by analysing complex linkages in finance and insurance sectors. The analysis is achieved by using a recently proposed method for quantifying causal coupling strength, which identifies the existence of causal dependencies between two components of a multivariate time series and assesses the strength of their association by defining a meaningful coupling strength. The measure of association is general, causal and lag-specific, reflecting a well interpretable notion of coupling strength and is pratically computable. A comprehensive analysis of the feasibility of this approach is provided via simulated and real data.

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Dates et versions

hal-01110712 , version 1 (28-01-2015)
hal-01110712 , version 2 (18-05-2015)

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  • HAL Id : hal-01110712 , version 2

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Peter Martey Addo, Philippe de Peretti, Hayette Gatfaoui, Jakob Runge. The kiss of information theory that captures systemic risk. 2014. ⟨hal-01110712v2⟩
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