Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

dependence sign in to follow this
EVT sign in to follow this
extreme sign in to follow this
value sign in to follow this
multivariate sign in to follow this
copula sign in to follow this
Categories:

VaR Methods sign in to follow this
--Extreme Value Theory sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management
Year Of Publication: 2004
Month Of Publication: June
Pages: 25
Download Count: 1009
View Count: 8947
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 6-20-2004
Publisher: Administrator
Summary
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 multivariatenormal model with linear correlation as its natural dependence measure is by nomeans an ideal model. We suggest a large class of models and a new dependencefunction which allows us to capture the complete extreme dependence structure ofa portfolio. We also present a simple nonparametric estimation procedure. To show our new method at work we apply it to a financial data set of zero coupon swaprates and estimate the extreme dependence in the data.
Author(s)
Hsing, Tailen Sign in to follow this author
Kluppelberg, Claudia Sign in to follow this author
Kuhn, Gabriel Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile