The kiss of information theory that captures systemic risk | Dr. Peter Martey Addo

The kiss of information theory that captures systemic risk

Abstract

We provide a new approach to understanding systemic risk by analysing complex linkages in finance and insurance sectors. The analysis is achieved by using a recently proposed method for quantifying causal coupling strength, which identifies the existence of causal dependencies between two components of a multivariate time series and assesses the strength of their association by defining a meaningful coupling strength. The measure of association is general, causal and lag-specific, reflecting a well interpretable notion of coupling strength and is practically computable. A comprehensive analysis of the feasibility of this approach is provided via simulated and real data.

Publication
HAL, hal-01110712v2
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Peter Martey Addo
Senior Data Scientist

I am keen on ways we can leverage data and emerging technologies to improve people’s lives.