New Entropy Study Findings Reported from Cracow University of Economics (Dynamic Time Warping Algorithm in Modeling Systemic Risk in the European Insurance Sector)

摘要

2021 SEP 13 (NewsRx) - By a News Reporter-Staff News Editor at Disease Prevention Daily - Investigators discuss new findings in entropy. According to news originating from Krakow, Poland, by NewsRx correspondents, research stated, "We are looking for tools to identify, model, and measure systemic risk in the insurance sector." Our news correspondents obtained a quote from the research from Cracow University of Economics: "To this aim, we investigated the possibilities of using the Dynamic Time Warping (DTW) algorithm in two ways. The first way of using DTW is to assess the suitability of the Minimum Spanning Trees' (MST) topological indicators, which were constructed based on the tail dependence coefficients determined by the copula-DCC-GARCH model in order to establish the links between insurance companies in the context of potential shock contagion. The second way consists of using the DTW algorithm to group institutions by the similarity of their contribution to systemic risk, as expressed by DeltaCoVaR, in the periods distinguished.