arXiv Open Access 2025

Causal analysis of extreme risk in a network of industry portfolios

Claudia Klüppelberg Mario Krali

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Abstrak

We provide a comprehensive review of causal dependence through a max-linear structural equation model. Such models express each node variable as a max-linear function of its parental node variables in a directed acyclic graph and some exogenous innovation. We reformulate results on structure learning and estimation, which we apply to a network of financial data. A new method, based on hard-thresholding and on the Hamming distance, estimates a sparse DAG for extreme risk~propagation.

Topik & Kata Kunci

q-fin.RM

Penulis (2)

Claudia Klüppelberg

Mario Krali

Format Sitasi

APA MLA BibTeX

Klüppelberg, C., Krali, M. (2025). Causal analysis of extreme risk in a network of industry portfolios. https://arxiv.org/abs/2504.00523

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Informasi Jurnal

Tahun Terbit: 2025
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓