| Publication | Date of Publication | Type |
|---|
Asymptotic independence in more than two dimensions and its implications on risk management
The Canadian Journal of Statistics | 2026-05-27 | Paper |
Measuring risk contagion in financial networks with CoVaR
Finance and Stochastics | 2025-07-03 | Paper |
| Systemic risk in financial networks: the effects of asymptotic independence | 2023-09-27 | Paper |
| On heavy-tailed risks under Gaussian copula: the effects of marginal transformation | 2023-04-11 | Paper |
| Aggregating heavy-tailed random vectors: from finite sums to L\'evy processes | 2023-01-25 | Paper |
Tail probabilities of random linear functions of regularly varying random vectors
Extremes | 2022-11-08 | Paper |
Asymptotic behavior of common connections in sparse random networks
Methodology and Computing in Applied Probability | 2022-07-28 | Paper |
On the heavy-tail behavior of the distributionally robust newsvendor
Operations Research | 2022-02-16 | Paper |
Growth of common friends in a preferential attachment model
Stochastic Models | 2021-10-13 | Paper |
Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
INFORMS Journal on Computing | 2021-06-23 | Paper |
Risk concentration under second order regular variation
Extremes | 2020-09-10 | Paper |
Conditional excess risk measures and multivariate regular variation
Statistics & Risk Modeling | 2020-01-31 | Paper |
Heavy-tailed random walks, buffered queues and hidden large deviations
Bernoulli | 2019-12-05 | Paper |
Heavy-tailed random walks, buffered queues and hidden large deviations
Bernoulli | 2019-12-05 | Paper |
Risk contagion under regular variation and asymptotic tail independence
Journal of Multivariate Analysis | 2018-04-12 | Paper |
| Hidden regular variation, copula models, and the limit behavior of conditional excess risk measures | 2018-02-06 | Paper |
Hidden regular variation under full and strong asymptotic dependence
Extremes | 2018-01-31 | Paper |
Detecting tail behavior: mean excess plots with confidence bounds
Extremes | 2016-06-07 | Paper |
| Models with hidden regular variation: generation and detection | 2016-01-25 | Paper |
Four theorems and a financial crisis
International Journal of Approximate Reasoning | 2015-07-10 | Paper |
Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
Stochastic Processes and their Applications | 2015-01-30 | Paper |
On robust tail index estimation for linear long-memory processes
Journal of Time Series Analysis | 2014-11-26 | Paper |
| Generation and Detection of Multivariate Regular Variation and Hidden Regular Variation | 2014-03-23 | Paper |
Living on the multidimensional edge: Seeking hidden risks using regular variation
Advances in Applied Probability | 2013-04-11 | Paper |
Living on the multidimensional edge: Seeking hidden risks using regular variation
Advances in Applied Probability | 2013-04-11 | Paper |
Weak limits for exploratory plots in the analysis of extremes
Bernoulli | 2013-03-07 | Paper |
Weak limits for exploratory plots in the analysis of extremes
Bernoulli | 2013-03-07 | Paper |
Detecting a conditional extreme value model
Extremes | 2011-11-27 | Paper |
Conditioning on an extreme component: model consistency with regular variation on cones
Bernoulli | 2011-09-02 | Paper |
QQ Plots, Random Sets and Data from a Heavy Tailed Distribution
Stochastic Models | 2008-03-31 | Paper |
