Hawkes Jump-Diffusion Model for Financial Losses and Systemic Risk

A statistical model by Yacine Aït-Sahalia proposes using Hawkes processes to simulate serially and cross-sectionally correlated large financial losses. The dataset likely contains parameters or simulation results for deriving closed-form saddlepoint approximations of profit and loss distributions. These approximations are used to construct explicit risk measure formulae for setting capital requirements and systemic risk charges.

Use Cases

• Calibrating model parameters based on the derived closed-form risk measure formulae.
• Performing comparative statics on financial loss distributions using the saddlepoint approximations.
• Setting capital requirements for financial institutions by applying the explicit risk measure formulae.
• Assessing potential systemic risk charges by modeling the cross-sectional propagation of losses.

Strengths

• Model provides closed-form saddlepoint approximations for tail distributions, enabling explicit calculations.
• The approach accounts for serial and cross-sectional dependence of financial losses, a key feature for systemic risk.

Limitations

• Column-level documentation is absent; field semantics must be inferred after download.
• Row count is unknown, which may limit suitability assessment for large-scale empirical validation.

Provenance

Source

Yacine Aït-Sahalia via figshare

Collection Method

Likely contains parameters or simulation results from a proposed statistical model.

Freshness

Last updated 2026-05-18 13:53:50; freshness should be verified.