Abstract
Systemic risk in the banking industry was quite well recognized after the 2008–2009 financial crisis, as most banks experienced extreme losses across the board. Do negative stress events similarly affect a large number of firms in other industries in terms of very high correlated downside tail risk? What would it mean for portfolio managers interested in tail dependence, or the number of firms that have very large negative returns, given that at least one firm in the group has very large negative returns? ask <b>Sander Muns</b> and <b>Michiel Bijlsma</b> from the <b>CPB Netherlands Bureau for Economic Policy Analysis</b> in The Hague. <b>TOPICS:</b>Tail risks, risk management
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