On the failure and systemic risk of innovation cluster: copula approach

Abstract

In order to assess and parameterize the risk of innovation activity implemented by innovation clusters, it is necessary to determine the reliable tools of measuring of systemic risk. Purpose – to propose an adequate approach to evaluate the systemic risk with regard to the impact of interlinkages between cluster entities and other external factors. Research methodology – general overview of research papers and documents presenting concepts and methodologies of evaluation of systemic risk and performance of networked structures as approach to evaluate the systemic risk with regard to the impact of interlinkages between cluster entities and other external factors, applied research. Findings – it is suggested to develop the further parameterization of intensity. Modelling of the tail dependence and asymmetric dependence between pairs of networked positions remains an important task. Research limitations – the lack of information concerning the structure and types of interactions and relationship between the members of innovation cluster. There are made some additional assumptions related to reduced-form approach of credit risk modelling. Practical implications – proposed conceptual model of evaluation of systemic risk should be useful for understanding and further treatment of measuring risk in a case of innovation management. Originality/Value – the concept of the measuring the systemic risk in innovation cluster as a joint probability of correlated failure of commercialization of innovative activity results is proposed and analysed in this paper.