Extreme dependence for multivariate data

DOI10.1080/14697688.2014.886777MaRDI QIDQ5245458zbMATH OpenOpenAlexFDO

Authors Damien Bosc, Alfred Galichon

Publication date 8 April 2015

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.04461, https://spire.sciencespo.fr/hdl:/2441/7o52iohb7k6srk09mj4in40o4

zbMATH Keywords

covariance setextreme dependencemultivariate dependence

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the cross-covariance matrices, we also generalize the notion of positive upper dependence. We then proposes a means to quantify the strength of the dependence between two given multivariate series and to increase this strength while preserving the marginal distributions. This allows for the design of stress-tests of the dependence between two sets of financial variables, that can be useful in portfolio management or derivatives pricing.

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Cited in

(3)

• Extremal dependence concepts
• Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
• Bounding wrong-way risk in CVA calculation

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