Multivariate extremes, aggregation and risk estimation

DOI10.1080/713665553MaRDI QIDQ4646466zbMATH OpenOpenAlexWikidataFDO

Authors H. A. Hauksson, Michel M. Dacorogna, Thomas Domenig, Ulrich A. Müller, Gennady Samorodnitsky

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/1813/9145

zbMATH Keywords

extreme value distributionsmultivariate extreme value theoryportfolio optimizationrisk minimization

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited in

(22)

• Multivariate risks and depth-trimmed regions
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Introduction to extreme value theory: applications to risk analysis and management
• On the tail behaviour of aggregated random variables
• Improved inference on risk measures for univariate extremes
• Local quantile regression
• On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix
• Fragility index of block tailed vectors
• scientific article; zbMATH DE number 1301873 (Why is no real title available?)
• Abnormal returns, risk, and options in large data sets
• Detecting tail risk differences in multivariate time series
• Multivariate extremes, aggregation and dependence in elliptical distributions
• scientific article; zbMATH DE number 2095964 (Why is no real title available?)
• Portfolio risk assessment using multivariate extreme value methods
• EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
• Multivariate extensions of expectiles risk measures
• Estimation of extreme risk regions under multivariate regular variation
• Asymptotics for credit portfolio losses due to defaults in a multi-sector model
• Testing the Multivariate Regular Variation Model
• Revisiting Cont's stylized facts for modern stock markets
• Testing the regular variation model for multivariate extremes with flexible circular and spherical distributions
• Multivariate distribution models with generalized hyperbolic margins

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