Much empirical work has shown that asset returns, exchange rates, operational risks, large insurance claims exhibit heavy tailedness. Dependence also widely exists among these risks. An example of the impact of dependence on finance is the systemic risk observed in the 2008 financial crisis, that is the extreme risks are contagious. In this thesis, we study the tail dependence through copulas with tail order property and then aim to investigate the effects of heavy tailedness and tail dependence for the extreme risks through a so-called Joint Expected Shortfall risk measure
In general, risk of an extreme outcome in financial markets can be expressed as a function of the t...
In this thesis we study the tail behavior of a random variable and sum of dependent random variables...
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise w...
This thesis presents the concept of tail dependence in a financial context as one tool to measure de...
Abstract. Tail dependence refers to clustering of extreme events. In the context of financial risk m...
In the past decade, the study of the renewal risk model in the presence of dependent insurance and f...
With the advent of globalization and the recent financial turmoil, the interest for the analysis of ...
In this thesis we model extreme log-returns on economic variables and apply this to Ortec Finance's ...
Quantifying tail dependence is an important issue in insurance and risk management. The prevalent ta...
Considerable focus in the world of insurance risk quantification is placed on modeling loss values f...
International audiencePortfolio analysis and optimization, together with the associated risk assessm...
This paper focuses on measuring risk due to extreme events going beyond the multivariate normal dist...
The fields of insurance and financial mathematics require increasingly intricate descriptors of depe...
Assessing dependence within co-movements of financial instruments has been of much interest in risk ...
This thesis focuses on risk dependencies, based on copula functions. Taking dependencies into accoun...
In general, risk of an extreme outcome in financial markets can be expressed as a function of the t...
In this thesis we study the tail behavior of a random variable and sum of dependent random variables...
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise w...
This thesis presents the concept of tail dependence in a financial context as one tool to measure de...
Abstract. Tail dependence refers to clustering of extreme events. In the context of financial risk m...
In the past decade, the study of the renewal risk model in the presence of dependent insurance and f...
With the advent of globalization and the recent financial turmoil, the interest for the analysis of ...
In this thesis we model extreme log-returns on economic variables and apply this to Ortec Finance's ...
Quantifying tail dependence is an important issue in insurance and risk management. The prevalent ta...
Considerable focus in the world of insurance risk quantification is placed on modeling loss values f...
International audiencePortfolio analysis and optimization, together with the associated risk assessm...
This paper focuses on measuring risk due to extreme events going beyond the multivariate normal dist...
The fields of insurance and financial mathematics require increasingly intricate descriptors of depe...
Assessing dependence within co-movements of financial instruments has been of much interest in risk ...
This thesis focuses on risk dependencies, based on copula functions. Taking dependencies into accoun...
In general, risk of an extreme outcome in financial markets can be expressed as a function of the t...
In this thesis we study the tail behavior of a random variable and sum of dependent random variables...
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise w...
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