Tail Risk Interdependence

Arnold Polanski, Evarist Stoja*, Jeremy Chiu

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)peer-review

1 Citation (Scopus)
52 Downloads (Pure)


We present a framework focused on the interdependence of high-dimensional tail events. This framework allows us to analyze and quantify tail interdependence at different levels of extremity, decompose it into systemic and residual part and to measure the contribution of a constituent to the interdependence of a system. In particular, tail interdependence can capture simultaneous distress of the constituents of a (financial or economic) system and measure its systemic risk. We investigate systemic distress in several financial datasets confirming some known stylized facts and discovering some new findings. Further, we devise statistical tests of interdependence in the tails and outline some additional extensions.
Original languageEnglish
Number of pages13
JournalInternational Journal of Finance and Economics
Early online date1 Sept 2020
Publication statusE-pub ahead of print - 1 Sept 2020

Structured keywords

  • AF Financial Markets


  • co-exceedance
  • relative entropy
  • risk contribution
  • extreme risk interdependence
  • systemic distress


Dive into the research topics of 'Tail Risk Interdependence'. Together they form a unique fingerprint.

Cite this