Login
- Title:
Causal analysis of extreme risk in a network of industry portfolios
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Klüppelberg, Claudia; Krali, Mario
- Abstract:
- We present a methodology for causal risk analysis in a network. Causal dependence is formulated by a max-linear structural equation model, which expresses each node variable as a max-linear function of its parental node variables in a directed acyclic graph and some exogenous innovation. We determine directed paths responsible for extreme risk propagation in the network. We give algorithms for structure learning and parameter estimation and Résumé apply them to a network of financial data.
- Keywords:
- Max-linear Bayesian network; causality; extreme risk propagation; financial network.
- Dewey Decimal Classification:
- 510 Mathematik
- Journal title:
- Preprint
- Year:
- 2025
- Year / month:
- 2025-04
- Quarter:
- 2. Quartal
- Month:
- Apr
- Language:
- en
- Fulltext / DOI:
- doi:10.48550/ARXIV.2504.00523
- Publisher:
- arXiv
- Status:
- Preprint / submitted
- Submitted:
- 01.04.2025
- Semester:
- WS 24-25
- TUM Institution:
- Lehrstuhl für Mathematische Statistik
- Format:
- Text
BibTeX