Date: 2026-04-10

Time: 15:30-16:30 (Montreal time)

Location: In person, Burnside 1104

https://mcgill.zoom.us/j/84830806641

Meeting ID: 848 3080 6641

Passcode: None

Abstract:

From a macroprudential view, systemic risk arises from the gradual buildup of financial imbalances across the system. In probabilistic terms, these vulnerabilities manifests in the extremal dependence structure of the system. In this talk, I present an extreme value framework for characterizing extremal dependence in multivariate distributions based on tail expansions of copulas. This framework yields a new approach to Conditional Value-at-Risk (CoVaR), one of the most widely used measures of systemic risk. Our work characterizes the possible tail regimes of CoVaR through the limiting behavior of the copula conditional distribution and proves that these regimes can be determined by the joint tail expansions of the copula. Building on this characterization, we also propose a minimum-distance estimation approach for CoVaR and establishes its asymptotic properties. The talk also features an empirical study of systemic risk in the U.S. market from 2000 to 2025. It shows how the proposed methodology can reveal changes in systemic risk, and help distinguish the systemic roles of different assets and institutions. The findings have useful implications for macroprudential surveillance and risk management.

Speaker

Dr. Xiaoting Li is an Assistant Professor in the Department of Statistics at the University of Manitoba. She received the Ph.D. in Statistics from the University of British Columbia in 2025 under the supervision of Dr. Harry Joe. Her research develops statistical theory and methods for multivariate extremes. Her doctoral work, supported by the NSERC Doctoral Scholarship and the Scotiabank Risk Analytics Initiative, studied multivariate extreme value inference for systemic risk in financial systems. She is the recipient of the 2025 Marshall Prize for Excellence in Statistics and the Lorraine Schwartz Prize in Probability. Dr. Li is also a proud McGill alumna, where she completed the Joint Honours bachelor’s program and later earned her M.Sc. in Statistics under the supervision of Dr. Christian Genest, who introduced her to the research on copulas and extreme value theory.