Portfolio risk assessment using multivariate extreme value methods
DOI10.1007/S10687-014-0194-9zbMATH Open1303.91158OpenAlexW1997428081MaRDI QIDQ482071FDOQ482071
Sawsan Hilal, Ser-Huang Poon, Jonathan A. Tawn
Publication date: 19 December 2014
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-014-0194-9
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Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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Cited In (8)
- A calibrated scenario generation model for heavy-tailed risk factors
- ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
- Extremal financial risk models and portfolio evaluation
- AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
- Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables
- Modelling dynamic portfolio risk using risk drivers of elliptical processes
- Sub-asymptotic motivation for new conditional multivariate extreme models
- Similarity-based clustering for patterns of extreme values
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