Add to ORKGProperties of risk measures for extreme risks have become an important topic of research. In the present paper we discuss sub- and superadditivity of quantile based risk measures and show how multivariate extreme value theory yields the ideal modeling environment. Numerous examples and counter-examples highlight the applicability of the main results obtaine
The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools in ri...
Risk assessments often encounter extreme settings with very few or no occurrences in reality.Inferen...
In the present work we study multivariate extreme value theory. Our main focus is on exceedances ove...
Extreme value modeling has been attracting the attention of researchers in diverse areas such as th...
Assessing the probability of rare and extreme events is an important issue in the risk management of...
In this thesis, we aim at a quantitative understanding of extreme risks and extremal depen- dence in...
The contributions of this thesis have mainly a dual purpose: introducing several multivariate statis...
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuri...
This paper proposes a methodology to provide risk measures for portfolios during extreme events. Th...
AbstractIn this paper, we investigate extreme events in high frequency, multivariate FX returns with...
In this paper we review certain aspects around the Value-at-Risk, which is nowadays the industry ben...
This article presents a general framework for identifying and modeling the joint-tail distribution b...
This article presents a general framework for identifying and modeling the joint-tail distribution b...
In this paper, we study the extent to which any risk measure can lead to superadditive risk assessme...
In this thesis we will elaborate on multivariate extreme value modelling, re- lated practical and th...
The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools in ri...
Risk assessments often encounter extreme settings with very few or no occurrences in reality.Inferen...
In the present work we study multivariate extreme value theory. Our main focus is on exceedances ove...
Extreme value modeling has been attracting the attention of researchers in diverse areas such as th...
Assessing the probability of rare and extreme events is an important issue in the risk management of...
In this thesis, we aim at a quantitative understanding of extreme risks and extremal depen- dence in...
The contributions of this thesis have mainly a dual purpose: introducing several multivariate statis...
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuri...
This paper proposes a methodology to provide risk measures for portfolios during extreme events. Th...
AbstractIn this paper, we investigate extreme events in high frequency, multivariate FX returns with...
In this paper we review certain aspects around the Value-at-Risk, which is nowadays the industry ben...
This article presents a general framework for identifying and modeling the joint-tail distribution b...
This article presents a general framework for identifying and modeling the joint-tail distribution b...
In this paper, we study the extent to which any risk measure can lead to superadditive risk assessme...
In this thesis we will elaborate on multivariate extreme value modelling, re- lated practical and th...
The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools in ri...
Risk assessments often encounter extreme settings with very few or no occurrences in reality.Inferen...
In the present work we study multivariate extreme value theory. Our main focus is on exceedances ove...