Does Tail Dependence Make A Difference In the ... - Boston College

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Table 1: Tickers and Company Names of US Financial Institutions Depositories Insurance Broker-Dealers Others BAC Bank of America Corp AFL AFLA Inc ETFC E Trade Financial Corp ACAS American Capital Ltd BBT B B & T Corp AIG American International Group Inc GS Goldman Sachs group Inc AMTD T D AmeriTrade Holding Corp BK Bank of New York Mellon Corp ALL Allstate Corp MS Morgan Stanley Dean Witter & Co AXP American Express Co C Citigroup Inc AOC Aon Corp SCHW Schawab Charles Corp. New BEN Franklin resources inc CMA Comerica Inc BKLY Berkley W R Corp TROW T Rowe Price Group Inc BLK BlackRock inc HBAN Huntington Bancshares Inc BRK Berkshire Hathaway Inc. Del COF Capital inc. Fianncial Corp HCBK Hudson City Bankshares Inc CB Chubb Corp EV Eaton Vance Corp JPM J P Morgan Chase & Co CI C I G N A Corp FITB Fifth Third Bancorp KEY Keycorp New CINF Cincinnati .nancial Corp HRB H&R Block MI Marsahll & Ilsley Corp CNA C N A Financial Corp LM Legg Mason Inc MTB M & T Bank orp CVH Coventry health Care Inc SEIC S E I Investment Company NTRS Northern trust Corp HIG Hartford .nancial Svcs Grp Inc SLM S L M Corp NYB New York Community Bancorp Inc HNT Health Net Inc PBCT Peoples United Financial Inc HUM Humana Inc PNC P N C Financial Services grp Inc LNC Lincoln National Corp In RF Regions Financial Corp. New MBI M B I A Inc SNV Synovus Financial Corp MMC Marsh & McLennan Cos Inc STI Suntrust Banks Inc PGR Progressive Corp STT State Street Corp TMK Torchmark Corp USB U S Bancorp Del TRV Travelers companies Inc WFC Wells Fargo & Co New UNH United Health Group Inc ZION Zions Bancorp UNM Unum Group 40
Table 2: Bivariate Copula Functions Studied in this paper Copula Parametric ( Form ) LTD UTD Gaussian Φρ Student t tν,ρ ( Φ −1 (u), Φ −1 (v) t −1 ν (u), t −1 Frank − 1 θ log (1 + ) ν (v) ( )( ) e −θu −1 e −θv −1 e −θ −1 ) - - 2 − 2T1+ν( √ √ 1 + ν 1−ρ 1+ρ ) 2 − 2T 1+ν( √ 1 + ν - - Plackett (1 + (θ − 1)(u + v) − [(1 + (θ − 1)(u + v)) 2 − 4θuv] 1/2 ) - - 1 2 (θ − 1)−1 Clayton (u −θ + v −θ − 1) −1/θ 2 −1/θ - Rotated-Clayton u + ( v − 1 + ((1 − u) −θ + (1 − v) −θ ) − 1) −1/θ - 2 −1/θ Gumbel exp − [ (− log u) θ + (− log v) θ] 1 θ - 2 − 2 1/θ ( Rotated-Gumbel u + v − 1 + exp − [ (− log ū) θ + (− log ¯v) θ] 1 θ 2 − 2 1/θ ( Joe-Clayton 1 − 1 − [ (1 − ū κ ) γ + (1 − ¯v κ ) −γ − 1 ] 1/κ −1/γ) 2 −1/γ 2 −1/γ √ 1−ρ 1+ρ ) 41
Page 1 and 2: Does Tail Dependence Make A Differe
Page 3 and 4: Figure 1: The upper panel graphs di
Page 5 and 6: more related to the “too big to f
Page 7 and 8: CoV aR (hereafter called CoV aR )
Page 9 and 10: Theorem 1 (Sklar)(1959) Let G be a
Page 11 and 12: Therefore the systemic risk measure
Page 13 and 14: Figure 3: This figure displays 8000
Page 15 and 16: (lower dependence with the market).
Page 17 and 18: higher value of systemic risk. Figu
Page 19 and 20: oth estimated based on the joint di
Page 21 and 22: Figure 8: This figure displays the
Page 23 and 24: the Goodness of Fit (GoF) of copula
Page 25 and 26: Depositories and Broker-Dealer comp
Page 27 and 28: 5.2 Empirical Results 5.2.1 Estimat
Page 29 and 30: [ Insert Table 6 Here ] Table 6 pre
Page 31 and 32: isk measure (last panel of Table 9)
Page 33 and 34: References Acharya, V. V., Pedersen
Page 35 and 36: Appendix Proof on the relationship
Page 37 and 38: Therefore v = F Y (y) = Φ( y −
Page 39: In the case of continuous random va
Page 43 and 44: Table 5: AIC for the Different Copu
Page 45: Table 8: Systemic Risk Rankings:

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