Quantile methods for complex financial systems

我们计划开发新的计量经济学方法来评估复杂的金融系统，特别关注系统性风险的衡量和预测。项目结构如下：1.大型金融系统结构性风险通道检测的尾部网络模型(2)密集和非线性系统的尾部网络(2)系统风险网络的时变性。用于准确预测的动态尾部因素方法a)动态分位数因素模型b)带有尾部因素联结的极端分位数和最大因素模型以上所有方法都是以量身定制的形式推导出来的，用于从市场数据分析系统风险，并包括关于影子银行部门的信息。

We plan to develop new Econometric methodologies for assessing complex financial systems with a particular focus on systemic risk measurement and prediction. The project structure is as follows:1. Tail network models for detection of structural risk channels within large dimensional financial systemsa) Tail networks for dense and nonlinear systemsb) Time variation of systemic risk networks2. Dynamic tail factor methods for accurate predictiona) Dynamic quantile factor modelsb) Extreme quantiles with tail factor copulas and max-factor modelsAll of the above methodologies are derived in a tailored form for the analysis of systemic risk from market data and including information on the shadow banking sector.