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Author Hsing, Tailen ♦ Klüppelberg, Claudia ♦ Kuhn, Gabriel
Source EconStor
Content type Text
Publisher Techn. Univ.; Sonderforschungsbereich 386, Statistische Analyse Diskreter Strukturen cMünchen
File Format PDF
Language English
Subject Domain (in DDC) Social sciences ♦ Collections of general statistics
Subject Keyword Risk management ♦ extreme risk assessment ♦ multivariate models ♦ dependence function ♦ Statistical Simulation Methods: General ♦ Model Evaluation, Validation, and Selection
Abstract Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of models and a new dependence function which allows us to capture the complete extreme dependence structure of a 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 swap rates and estimate the extreme dependence in the data.
Part of series Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München x375
Learning Resource Type Article
Publisher Date 2004-01-01
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