The devil is in the tails: actuarial mathematics and the subprime mortgage crisis

DOI10.2143/AST.40.1.2049222zbMATH Open1230.91181WikidataQ61960214 ScholiaQ61960214MaRDI QIDQ3569704FDOQ3569704

Authors: Catherine Donnelly, Paul Embrechts 

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

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Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Title not available (Why is that?)
• An introduction to statistical modeling of extreme values
• An introduction to copulas.
• Title not available (Why is that?)
• Structured credit portfolio analysis, baskets \& CDOs
• The commons with capital markets

Cited In (35)

• Is a Normal Copula the Right Copula?
• \(t\)-copula from the viewpoint of tail dependence matrices
• Dependence in a background risk model
• Copula-based measures of asymmetry between the lower and upper tail probabilities
• A limit distribution of credit portfolio losses with low default probabilities
• Meta densities and the shape of their sample clouds
• Distorted mix method for constructing copulas with tail dependence
• Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
• Detecting tail behavior: mean excess plots with confidence bounds
• Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
• Gaussian approximation of conditional elliptical copulas
• Univariate conditioning of vine copulas
• Sum of Bernoulli mixtures: beyond conditional independence
• Dealing With Endogeneity in Threshold Models Using Copulas
• CAT bond pricing under a product probability measure with pot risk characterization
• Modeling defaults with nested Archimedean copulas
• Copula based hierarchical risk aggregation through sample reordering
• Assessing high-risk scenarios by full-range tail dependence copulas
• On copulas with a trapezoid support
• LLN-type approximations for large portfolio losses
• An asymptotic characterization of hidden tail credit risk with actuarial applications
• Securitization and optimal retention under moral hazard
• Tail dependence of the Gaussian copula revisited
• Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
• Robust risk management
• Multivariate composite copulas
• Invariant dependence structure under univariate truncation: the high-dimensional case
• TAMING UNCERTAINTY: THE LIMITS TO QUANTIFICATION
• Four theorems and a financial crisis
• Invariant dependence structure under univariate truncation
• Extreme-quantile tracking for financial time series
• A study of one-factor copula models from a tail dependence perspective
• Composite Bernstein copulas
• Measuring non-exchangeable tail dependence using tail copulas
• Quantile-based risk sharing

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