{"paper":{"title":"Risk contagion under regular variation and asymptotic tail independence","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.RM","stat.OT","stat.TH"],"primary_cat":"math.ST","authors_text":"Bikramjit Das, Vicky Fasen","submitted_at":"2016-03-30T22:43:19Z","abstract_excerpt":"Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of high values of Y on X. This can be measured in a variety of ways. In this paper, we study two such measures: the quantity E[max(X-t,0)|Y > t] called Marginal Mean Excess (MME) as well as the related quantity E[X|Y > t] called Marginal Expected Shortfall (MES). Both quantities are indicators of risk contagion and useful in various applications ranging from finan"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1603.09406","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}