英文标题：
《A systemic shock model for too big to fail financial institutions》
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作者：
Sabrina Mulinacci
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最新提交年份：
2017
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英文摘要：
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common shock affecting all the lifetimes is assumed, some dependence is allowed between each idiosyncratic shock arrival time and the systemic shock arrival time. The dependence structure of the resulting distribution is studied through the analysis of its singularity and its associated copula function. Finally, the model is applied to the analysis of the systemic riskiness of those European banks classified as systemically important (SIFI).
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中文摘要：
在本文中，我们研究了寿命向量的分布特性，其中每个寿命被建模为特殊冲击和普通系统冲击之间的首次到达时间。尽管与经典的多维Marshall-Olkin模型不同，这里只假设了一个影响所有生命期的唯一公共冲击，但允许在每个特殊冲击到达时间和系统冲击到达时间之间存在某种依赖性。通过对其奇异性及其相关copula函数的分析，研究了所得分布的依赖结构。最后，将该模型应用于被归类为系统重要性银行（SIFI）的欧洲银行的系统风险分析。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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