Quantile methods for complex financial systems

• Applicants: Professorin Dr. Melanie Schienle; Professorin Dr. Weining Wang
• Subject Area: Statistics and Econometrics
• Term: from 2016 to 2020
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 290808748

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.

• DFG Programme: Research Grants
• International Connection: China
• Cooperation Partner: Professor Dr. Maozai Tian