A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling

A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling

We investigate the dynamics of systemic risk of European companies using an approach that merges paradigmatic risk measures such as Marginal Expected Shortfall, CoVaR, and Delta CoVaR, with a Bayesian entropy estimation method. Our purpose is to bring to light potential spillover effects of the entr...

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Bibliographic Details
Main Authors: Radu Lupu, Adrian Cantemir Călin, Cristina Georgiana Zeldea, Iulia Lupu
Format: Article
Language:English
Published: MDPI AG 2020-12-01
Series:Entropy
Subjects:
systemic risk measurement
spillovers
entropy measures
Bayesian inference
economic sectors
Online Access:https://www.mdpi.com/1099-4300/22/12/1371

Internet

https://www.mdpi.com/1099-4300/22/12/1371

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