期刊名称：Documents de Travail du Centre d'Economie de la Sorbonne
印刷版ISSN：1955-611X
出版年度：2015
出版社：Centre d'Economie de la Sorbonne
摘要：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.
关键词：Systemic risk; Causal dependencies; Financial institutions; Linkages; Sovereign Debt
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