Portfolio risk assessment using multivariate extreme value methods

DOI10.1007/S10687-014-0194-9MaRDI QIDQ482071zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

ARMA-GARCH filteringasymptotic dependenceasymptotic independencecopulamultivariate extreme values

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• An introduction to copulas. Properties and applications
• ARMA MODELS WITH ARCH ERRORS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bivariate extreme statistics. I
• Dependence structures for multivariate high-frequency data in finance
• Diagnostics for Dependence within Time Series Extremes
• Empirical properties of asset returns: stylized facts and statistical issues
• Extremal financial risk models and portfolio evaluation
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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• Maximum likelihood estimation in a class of nonregular cases
• Multivariate extreme value theory and its usefulness in understanding risk
• Statistics for near independence in multivariate extreme values

Cited in

(10)

• Extremal financial risk models and portfolio evaluation
• Modelling dynamic portfolio risk using risk drivers of elliptical processes
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
• AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
• Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables
• ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
• A calibrated scenario generation model for heavy-tailed risk factors
• Sub-asymptotic motivation for new conditional multivariate extreme models
• Similarity-based clustering for patterns of extreme values
• Statistical inference for multivariate extremes via a geometric approach

Describes a project that uses

Uses Software

• QRM

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