标题： 行业投资组合网络中的极端风险因果分析 显示英文标题

标题： Causal analysis of extreme risk in a network of industry portfolios

摘要： 我们提出了一种在网络中进行因果风险分析的方法。因果依赖通过最大线性结构方程模型来表述，该模型将每个节点变量表示为其有向无环图中父节点变量的最大线性函数以及一些外生创新。我们确定了负责极端风险传播的有向路径。我们给出了结构学习和参数估计的算法，并将其应用于金融数据网络。 显示英文摘要

摘要： We present a methodology for causal risk analysis in a network. Causal dependence is formulated by a max-linear structural equation model, which expresses each node variable as a max-linear function of its parental node variables in a directed acyclic graph and some exogenous innovation. We determine directed~paths~responsible~for extreme risk propagation in the network. We give algorithms for structure learning and parameter estimation and apply them to a network of financial data.