Research readings suggestions

[TrueTears]

Hi everyone, I'm new to the forums, nice to meet you all. I am starting an honours research project basing my topic on the paper by Deyan Radev ("Systemic Risk and Sovereign Debt in the Euro Area", paper is attached). I was wondering if anyone could give me a few suggestions as to what statistical/mathematics texts I could read in order to familiarize myself with the mathematical proofs from Appendix 1 to 4, more specifically I am having the most trouble understanding the proof in Appendix 3. I have a relatively good mathematical background (studied pure mathematics for my undergraduate) however I am a bit weak in statistics, although I do have a good foundation of introductory econometrics and probability theory. Any suggestions as to what I can read to help me understand those proofs will be much appreciated! Thanks

 

[ExSan]

here

 

[TrueTears]

Hi, thanks but when I click on the link it just takes me to my post Wilmott, but when I click on that link, it just takes me back here lol

 

[ExSan]

Hi, thanks but when I click on the link it just takes me to my post Wilmott, but when I click on that link, it just takes me back here lol

 

[TrueTears]

Sorry am I missing something? lol

 

[Keith Tan]

i'm not sure how much of this paper could be useful to you; i feel that the CAPM and APT models would be much better suited to study systematic risk since it uses CoVar and the use of betas. The mathematics used are too simple - mostly integrals and lagrangians. Do reconsider if you think that a new untested measure such as the CoJPoD could be useful in your work.

 

[TrueTears]

Thanks Keith for your excellent suggestions. The reason I am looking at the CoJPoD measure is because it is a new type of measure of systemic risk and my supervisor and I both feel that it's more flexible than the usual CoVaR and VaR measures of systemic risk so it will be more of an interesting topic to research. I haven't actually decided the specific details of where my research is heading but from a quick discussion with my supervisor we are planning to do 50% theoretical and 50% empirical, where I first prove the mechanics and the technical details of the CoJPoD measure and then apply it on a dataset to test it empirically.

I have quite a good background in multivariable calculus and the like, however I do realise that a thorough understanding of the CoJPoD measure requires a deeper understanding of probability/statistical mechanics - I have a good foundational understanding of probability/statistics from undergraduate studies but I think I still lack a deeper understanding; that is why I am having trouble understanding the proofs. Do you know of any good reference material I could have a read that relates to the proofs of the CIMDO methodology outlined?

Thanks for your time and I really appreciate your help