Limiting dependence structures for tail events, with applications to credit derivatives

DOI10.1239/jap/1152413742zbMath1117.62049OpenAlexW2049322469MaRDI QIDQ3410934

Alessandro Juri, Arthur Charpentier

Publication date: 16 November 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1152413742

zbMATH Keywords

copularegular variationextreme value theorycredit risktail dependencedependent risksdependent defaults

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (30)

On truncation invariant copulas and their estimation ⋮ Dependence of exchangeable residual lifetimes subject to failure ⋮ Invariant dependence structure under univariate truncation ⋮ Robust and bias-corrected estimation of the probability of extreme failure sets ⋮ Extreme value analysis of actuarial risks: estimation and model validation ⋮ Dynamics of Dependence Properties for Lifetimes Influenced by Unobservable Environmental Factors ⋮ Lower tail dependence for Archimedean copulas: characterizations and pitfalls ⋮ Some results on homeomorphisms between fractal supports of copulas ⋮ Estimating a bivariate tail: a copula based approach ⋮ Gaussian approximation of conditional elliptical copulas ⋮ Invariant dependence structures and Archimedean copulas ⋮ Idempotent and multivariate copulas with fractal support ⋮ On conditional value at risk (CoVaR) for tail-dependent copulas ⋮ Threshold copulas and positive dependence ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ Bivariate Aging Properties under Archimedean Dependence Structures ⋮ Unnamed Item ⋮ Robust and bias-corrected estimation of the coefficient of tail dependence ⋮ Right-truncated Archimedean and related copulas ⋮ Evolution of the Dependence of Residual Lifetimes ⋮ A multivariate IFR notion based on the multivariate dispersive ordering ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Truncation invariant copulas and a testing procedure ⋮ On the class of truncation invariant bivariate copulas under constraints ⋮ Spatial contagion between financial markets: a copula-based approach ⋮ Copulas with Truncation-Invariance Property ⋮ Limiting Tail Dependence Copulas ⋮ Invariant dependence structure under univariate truncation: the high-dimensional case ⋮ Univariate conditioning of vine copulas

Cites Work

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