Modeling and Decoupling Systemic Risk
系统性风险的建模与分解
Identifying systemic risk patterns in geopolitical, economic, financial, environmental, transportation, epidemiological systems and their impacts is the key to risk management. This paper proposes a new nonlinear time series model: autoregressive conditional accelerated Fréchet (AcAF) model and introduces two new endopathic and exopathic competing risk measures for better learning risk patterns, decoupling systemic risk, and making better risk management. The paper…