{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2016:YAYNNNCKHQOXSQYJZEHTIKPCGX","short_pith_number":"pith:YAYNNNCK","schema_version":"1.0","canonical_sha256":"c030d6b44a3c1d794309c90f3429e235e4377448079b4004a099f2dd8a573034","source":{"kind":"arxiv","id":"1603.09406","version":2},"attestation_state":"computed","paper":{"title":"Risk contagion under regular variation and asymptotic tail independence","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.RM","stat.OT","stat.TH"],"primary_cat":"math.ST","authors_text":"Bikramjit Das, Vicky Fasen","submitted_at":"2016-03-30T22:43:19Z","abstract_excerpt":"Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of high values of Y on X. This can be measured in a variety of ways. In this paper, we study two such measures: the quantity E[max(X-t,0)|Y > t] called Marginal Mean Excess (MME) as well as the related quantity E[X|Y > t] called Marginal Expected Shortfall (MES). Both quantities are indicators of risk contagion and useful in various applications ranging from finan"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1603.09406","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"math.ST","submitted_at":"2016-03-30T22:43:19Z","cross_cats_sorted":["q-fin.RM","stat.OT","stat.TH"],"title_canon_sha256":"570dc49070e6ec1e8b3de2bdb0794f80ec3feb3c6aca3992f22c4b630c42cd38","abstract_canon_sha256":"dabd3e7442101e666098e3d138e0718e9b92ebb48d727dfcefc75ae51d10ac83"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:45:49.743157Z","signature_b64":"rKbYrmV//CSwB/QY4bX5KpA1ldhh32kp0FHLRVvXE1x/3PGdQiBGFxWgw/SnhmdFGicyXeVkVpA4yxzYjnK2Dw==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"c030d6b44a3c1d794309c90f3429e235e4377448079b4004a099f2dd8a573034","last_reissued_at":"2026-05-18T00:45:49.742481Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:45:49.742481Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Risk contagion under regular variation and asymptotic tail independence","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.RM","stat.OT","stat.TH"],"primary_cat":"math.ST","authors_text":"Bikramjit Das, Vicky Fasen","submitted_at":"2016-03-30T22:43:19Z","abstract_excerpt":"Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of high values of Y on X. This can be measured in a variety of ways. In this paper, we study two such measures: the quantity E[max(X-t,0)|Y > t] called Marginal Mean Excess (MME) as well as the related quantity E[X|Y > t] called Marginal Expected Shortfall (MES). Both quantities are indicators of risk contagion and useful in various applications ranging from finan"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1603.09406","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1603.09406","created_at":"2026-05-18T00:45:49.742578+00:00"},{"alias_kind":"arxiv_version","alias_value":"1603.09406v2","created_at":"2026-05-18T00:45:49.742578+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1603.09406","created_at":"2026-05-18T00:45:49.742578+00:00"},{"alias_kind":"pith_short_12","alias_value":"YAYNNNCKHQOX","created_at":"2026-05-18T12:30:53.716459+00:00"},{"alias_kind":"pith_short_16","alias_value":"YAYNNNCKHQOXSQYJ","created_at":"2026-05-18T12:30:53.716459+00:00"},{"alias_kind":"pith_short_8","alias_value":"YAYNNNCK","created_at":"2026-05-18T12:30:53.716459+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/YAYNNNCKHQOXSQYJZEHTIKPCGX","json":"https://pith.science/pith/YAYNNNCKHQOXSQYJZEHTIKPCGX.json","graph_json":"https://pith.science/api/pith-number/YAYNNNCKHQOXSQYJZEHTIKPCGX/graph.json","events_json":"https://pith.science/api/pith-number/YAYNNNCKHQOXSQYJZEHTIKPCGX/events.json","paper":"https://pith.science/paper/YAYNNNCK"},"agent_actions":{"view_html":"https://pith.science/pith/YAYNNNCKHQOXSQYJZEHTIKPCGX","download_json":"https://pith.science/pith/YAYNNNCKHQOXSQYJZEHTIKPCGX.json","view_paper":"https://pith.science/paper/YAYNNNCK","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1603.09406&json=true","fetch_graph":"https://pith.science/api/pith-number/YAYNNNCKHQOXSQYJZEHTIKPCGX/graph.json","fetch_events":"https://pith.science/api/pith-number/YAYNNNCKHQOXSQYJZEHTIKPCGX/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/YAYNNNCKHQOXSQYJZEHTIKPCGX/action/timestamp_anchor","attest_storage":"https://pith.science/pith/YAYNNNCKHQOXSQYJZEHTIKPCGX/action/storage_attestation","attest_author":"https://pith.science/pith/YAYNNNCKHQOXSQYJZEHTIKPCGX/action/author_attestation","sign_citation":"https://pith.science/pith/YAYNNNCKHQOXSQYJZEHTIKPCGX/action/citation_signature","submit_replication":"https://pith.science/pith/YAYNNNCKHQOXSQYJZEHTIKPCGX/action/replication_record"}},"created_at":"2026-05-18T00:45:49.742578+00:00","updated_at":"2026-05-18T00:45:49.742578+00:00"}