Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In practice this evaluation remains challenging. We propose a simple non-parametric framework with several economic and statistical applications. In an empirical study, we illustrate the flexibility of our technique by applying it to the evaluation of multidimensional density forecasts, multidimensional Value at Risk and dependence in risk
Extreme value modeling has been attracting the attention of researchers in diverse areas such as th...
We apply distortion functions to bivariate survival functions for non-negative random variables. Thi...
Modern risk management calls for an understanding of stochastic dependence going beyond simple linea...
In this thesis, we try to provide a broad econometric analysis of a class of risk measures, distort...
To the dependence that never will be modelled, estimated or validated, LOVE iii Table of Contents Ta...
Understanding the relationships among multivariate assets would help one greatly about how best to p...
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...
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
Dependence modelling and estimation is a key issue in the assessment of financial risk. It is commo...
The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multid...
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuri...
To evaluate the aggregate risk in a financial or insurance portfolio, a risk analyst has to calculat...
The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multid...
We define the Multidimensional Value at Risk (MVaR) as a natural generalization of VaR. This general...
Extreme value modeling has been attracting the attention of researchers in diverse areas such as th...
We apply distortion functions to bivariate survival functions for non-negative random variables. Thi...
Modern risk management calls for an understanding of stochastic dependence going beyond simple linea...
In this thesis, we try to provide a broad econometric analysis of a class of risk measures, distort...
To the dependence that never will be modelled, estimated or validated, LOVE iii Table of Contents Ta...
Understanding the relationships among multivariate assets would help one greatly about how best to p...
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...
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
Dependence modelling and estimation is a key issue in the assessment of financial risk. It is commo...
The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multid...
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuri...
To evaluate the aggregate risk in a financial or insurance portfolio, a risk analyst has to calculat...
The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multid...
We define the Multidimensional Value at Risk (MVaR) as a natural generalization of VaR. This general...
Extreme value modeling has been attracting the attention of researchers in diverse areas such as th...
We apply distortion functions to bivariate survival functions for non-negative random variables. Thi...
Modern risk management calls for an understanding of stochastic dependence going beyond simple linea...