Revisiting the Edge, Ten Years On

DOI10.1080/03610920902822670zbMath1197.60048MaRDI QIDQ3585268

Paul Embrechts, Valérie Chavez-Demoulin

Publication date: 19 August 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920902822670

zbMATH Keywords

copula; aggregation; extreme value theory; value-at-risk; quantile estimation; dependence; operational risk; banking regulation

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

91G80: Financial applications of other theories

Related Items

The Dynamics of Incentives, Productivity, and Operational Risk, Discussion: Statistical models and methods for dependence in insurance data

Uses Software

• ismev
• QRM

Cites Work

• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
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• Heavy-Tail Phenomena
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
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