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We study the emergence of instabilities in a stylized model of a nancial market, when di erent market actors calculate prices according to di erent (local)
market measures. We derive typical propert...
On dependence consistency of CoVaR and some other systemic risk;measures
dependence consistency of CoVaR some other systemic risk measures
2012/9/14
This paper is dedicated to the consistency of systemic risk mea-sures with respect to stochastic dependence. It compares two alter-native notions of Conditional Value-at-Risk (CoVaR) available in the ...
How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market
Multivariate Kurtosis Dynamics N-Dimensional Market
2012/9/14
This paper investigates the common intuition suggesting that dur-ing crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges th...