Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors

Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework relies...

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Bibliographic Details
Main Authors:	Mauro Bernardi, Lea Petrella
Format:	Article
Language:	English
Published:	MDPI AG 2015-04-01
Series:	Journal of Risk and Financial Management
Subjects:	Markov switching tail risk interdependence risk measures
Online Access:	http://www.mdpi.com/1911-8074/8/2/198

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