Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model

URN to cite this document:: urn:nbn:de:bvb:355-epub-344706
DOI to cite this document:: 10.5283/epub.34470

Jurczyk, Jan ; Eckrot, Alexander ; Morgenstern, Ingo

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Date of publication of this fulltext: 25 Aug 2016 08:09

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Abstract

The world is still recovering from the financial crisis peaking in September 2008. The triggering event was the bankruptcy of Lehman Brothers. To detect such turmoils, one can investigate the time-dependent behaviour of correlations between assets or indices. These cross-correlations have been connected to the systemic risks within markets by several studies in the aftermath of this crisis. We ...