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...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-12-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/12/1371 |
| _version_ | 1827700795654537216 |
|---|---|
| author | Radu Lupu Adrian Cantemir Călin Cristina Georgiana Zeldea Iulia Lupu |
| author_facet | Radu Lupu Adrian Cantemir Călin Cristina Georgiana Zeldea Iulia Lupu |
| author_sort | Radu Lupu |
| collection | DOAJ |
| description | 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 entropy indicator for the systemic risk measures computed on the 24 sectors that compose the STOXX 600 index. Our results show that several sectors have a high proclivity for generating spillovers. In general, the largest influences are delivered by Capital Goods, Banks, Diversified Financials, Insurance, and Real Estate. We also bring detailed evidence on the sectors that are the most pregnable to spillovers and on those that represent the main contributors of spillovers. |
| first_indexed | 2024-03-10T14:18:58Z |
| format | Article |
| id | doaj.art-f37706e91acd43eb81804fbe6186f0b0 |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-03-10T14:18:58Z |
| publishDate | 2020-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-f37706e91acd43eb81804fbe6186f0b02023-11-20T23:34:29ZengMDPI AGEntropy1099-43002020-12-012212137110.3390/e22121371A Bayesian Entropy Approach to Sectoral Systemic Risk ModelingRadu Lupu0Adrian Cantemir Călin1Cristina Georgiana Zeldea2Iulia Lupu3Department of International Business and Economics, Bucharest University of Economic Studies, 010404 Bucharest, RomaniaDepartment of International Business and Economics, Bucharest University of Economic Studies, 010404 Bucharest, RomaniaDepartment of International Business and Economics, Bucharest University of Economic Studies, 010404 Bucharest, Romania“Victor Slăvescu” Centre for Financial and Monetary Research, Romanian Academy, 050711 Bucharest, RomaniaWe 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 entropy indicator for the systemic risk measures computed on the 24 sectors that compose the STOXX 600 index. Our results show that several sectors have a high proclivity for generating spillovers. In general, the largest influences are delivered by Capital Goods, Banks, Diversified Financials, Insurance, and Real Estate. We also bring detailed evidence on the sectors that are the most pregnable to spillovers and on those that represent the main contributors of spillovers.https://www.mdpi.com/1099-4300/22/12/1371systemic risk measurementspilloversentropy measuresBayesian inferenceeconomic sectors |
| spellingShingle | Radu Lupu Adrian Cantemir Călin Cristina Georgiana Zeldea Iulia Lupu A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling Entropy systemic risk measurement spillovers entropy measures Bayesian inference economic sectors |
| title | A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling |
| title_full | A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling |
| title_fullStr | A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling |
| title_full_unstemmed | A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling |
| title_short | A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling |
| title_sort | bayesian entropy approach to sectoral systemic risk modeling |
| topic | systemic risk measurement spillovers entropy measures Bayesian inference economic sectors |
| url | https://www.mdpi.com/1099-4300/22/12/1371 |
| work_keys_str_mv | AT radulupu abayesianentropyapproachtosectoralsystemicriskmodeling AT adriancantemircalin abayesianentropyapproachtosectoralsystemicriskmodeling AT cristinageorgianazeldea abayesianentropyapproachtosectoralsystemicriskmodeling AT iulialupu abayesianentropyapproachtosectoralsystemicriskmodeling AT radulupu bayesianentropyapproachtosectoralsystemicriskmodeling AT adriancantemircalin bayesianentropyapproachtosectoralsystemicriskmodeling AT cristinageorgianazeldea bayesianentropyapproachtosectoralsystemicriskmodeling AT iulialupu bayesianentropyapproachtosectoralsystemicriskmodeling |