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Kluppelberg, Claudia’ AUTHOR PAGE
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E-Mail: cklu@mathematik.tu-muenchen.de
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webpage: http://www-m4.mathematik.tu-muenchen.de/m4/
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Affiliation: Technische Universitat Muenchen
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Risk - A Multidisciplinary Introduction 2014
Kluppelberg, Claudia
Straub, Daniel
Welpe, Isabell M.
 
This is a unique book addressing the integration of risk methodology from various fields. It stimulates intellectual debate and communication across d...
Quantifying Extreme Risks 2013
Fasen, Vicky
Kluppelberg, Claudia
Menzel, Annette
 
This paper presents some of the probabilistic and statistical theory, which was developed to model and quantify extreme events. By the very nature of ...
Extreme Value Theory in Finance 2006
Kluppelberg, Claudia
Brodin, Erik
 
Extreme value theory is a practical and useful tool for modeling and quantifying risk. In this article, after introducing basic concepts, we indicate ...
Semi-Parametric Models for the Multivariate Tail Dependence Function - The Asymptotically Dependent Case 2007
Kluppelberg, Claudia
Peng, Liang
Kuhn, Gabriel
 
In general, the risk of joint extreme outcomes in financial markets can be expressed as a function of the tail dependence function of a high-dimension...
The Pareto Copula, Aggregation of Risks and the Emperors Socks 2007
Kluppelberg, Claudia
Resnick, Sidney
 
The copula of a multivariate distribution is the distribution transformed tohave uniform one dimensional marginals. We review a transformation of the ...
Multivariate Operational Risk: Dependence Modelling with Levy Copulas 2007
Bocker, Klaus
Kluppelberg, Claudia
 
Simultaneous modelling of operational risks occurring in different event type/businessline cells poses the challenge for operational risk quantificati...
Multivariate Models for Operational Risk 2006
Bocker, Klaus
Kluppelberg, Claudia
 
In Boecker and Kluppelberg (2005) we presented a simple approximation of Op-Var of a single operational risk cell. The present paper derives approxima...
Operational VaR: A Closed-Form Approximation 2005
Bocker, Klaus
Kluppelberg, Claudia
 
We investigate a simple loss distribution model for operational risk. We show that, when loss data are heavy-tailed (which in practice they are), a s...
Optimal Consumption and Investment with Bounded Capital-at-Risk 2007
Kluppelberg, Claudia
Pergamenchtchikov, S.
 
We investigate optimal consumption problems for a Black-Scholes market underuniform restrictions on Value-at-Risk and Expected Shortfall. We formulate...
Quadratic Forms of Gaussian Vectors 2002
Jaschke, Stefan R.
Kluppelberg, Claudia
Lindner, Alexander
 
We derive results on the ssymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta-gamma ...
Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data 2003
Hsing, Tailen
Kluppelberg, Claudia
Kuhn, Gabriel
 
We investigate extreme dependence in a multivariate setting with specialemphasis on ¯nancial applications. We introduce a new dependence functionwhich...
Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management 2004
Hsing, Tailen
Kluppelberg, Claudia
Kuhn, Gabriel
 
Dependence modelling and estimation is a key issue in the assessment of portfoliorisk. When measuring extreme risk in terms of the Value-at-Risk, the ...
Extremwerttheorie für Finanzzeitreihen 2000
Borkovec, Milan
Kluppelberg, Claudia
 
Mathematik, vor allem die moderne Wahrscheinlichkeitstheorie und Statistik, haben das t?gliche Gesch?ft der Finanzindustrie, insbesondere von Banken u...
Risk Management With Extreme Value Theory 2002
Kluppelberg, Claudia
 
Taking extreme fluctuations of financial data into account we want to answer the following questions:- How does one estimate VaR from financial time s...
Optimal Portfolios with Bounded Downside Risks 2000
Emmer, Suzanne
Kluppelberg, Claudia
Korn, Ralf
 
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the contraint of an upper...
Optimale Portfolios mit beschränktem Value-at-Risk 1999
Kluppelberg, Claudia
Korn, Ralf
 
...
A single number cant hedge against economic catastrophes 1999
Rootzen, Holger
Kluppelberg, Claudia
 
Mathematics and statistics have transformed the day-to-day trading in the world's financial markets. This has lead to new ways to reduce (or "hedg...
Risk Management in Finance: an application of extreme value theory 1997
Kluppelberg, Claudia
 
...
Extremal Behaviour of Diffusion Models in Finance 1997
Borkovec, Milan
Kluppelberg, Claudia
 
...
Optimal Portfolios with Bounded Capital at Risk 2000
Emmer, Suzanne
Kluppelberg, Claudia
Korn, Ralf
 
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an uppe...
VaR - A Measure for Extreme Risk 1998
Emmer, Suzanne
Kluppelberg, Claudia
Trüstedt, M.
 
Common methods for the estimation of the Value-at-Risk (VaR) are the empirical method and the normal method. We present an alternative estimation proc...
Modelling Extremal Events for Insurance and Finance 2000
Embrechts, Paul
Kluppelberg, Claudia
Mikosch, Thomas
 
Both in insurance and finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data,...
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