A multivariate piecing-together approach with an application to operational loss data

DOI10.3150/10-BEJ343zbMATH Open1238.62062arXiv1205.1617MaRDI QIDQ418229FDOQ418229

Authors: Stefan Aulbach, Verena Bayer, Michael Falk 

Publication date: 28 May 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We propose a multivariate extension. First it is shown that an arbitrary copula is in the domain of attraction of a multivariate extreme value distribution if and only if its upper tail can be approximated by the upper tail of a multivariate GPD with uniform margins. The multivariate PT then consists of two steps: The upper tail of a given copula $C$ is cut off and substituted by a multivariate GPD copula in a continuous manner. The result is again a copula. The other step consists of the transformation of each margin of this new copula by a given univariate distribution function. This provides, altogether, a multivariate distribution function with prescribed margins whose copula coincides in its central part with $C$ and in its upper tail with a GPD copula. When applied to data, this approach also enables the evaluation of a wide range of rational scenarios for the upper tail of the underlying distribution function in the multivariate case. We apply this approach to operational loss data in order to evaluate the range of operational risk.

Full work available at URL: https://arxiv.org/abs/1205.1617

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zbMATH Keywords

copulapeaks over thresholddomain of multivariate attractionGPD copulamultivariate extreme value distributionmultivariate generalized Pareto distribution

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited In (16)

• Generalized Pareto copulas: a key to multivariate extremes
• On max-stable processes and the functional \(D\)-norm
• Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
• Fragility index of block tailed vectors
• Multivariate peaks over thresholds models
• Copulae: an overview and recent developments
• The multivariate piecing-together approach revisited
• An offspring of multivariate extreme value theory: the \(\max\)-characteristic function
• Asymptotic conditional distribution of exceedance counts: fragility index with different margins
• Joint modelling of the body and tail of bivariate data
• Sojourn times and the fragility index
• Asymmetric tail dependence modeling, with application to cryptocurrency market data
• Testing for a generalized Pareto process
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• Semiparametric bivariate modelling with flexible extremal dependence
• Max-stable processes and the functional \(D\)-norm revisited

Uses Software

• QRM

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