Add to ORKGThis paper proposes a methodology to provide risk measures for portfolios during extreme events. The approach is based on splitting the multivariate extreme value distribution of the assets of the portfolio into two parts: the distributions of each asset and their dependence function. The estimation problem is also investigated. Then, stress-testing is applied for market indices portfolios and Monte-Carlo based risk measures — Value-at-Risk and Expected Shortfall — are provided
Properties of risk measures for extreme risks have become an important topic of research. In the pre...
Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for ...
This thesis studies dependence of extreme events in financial markets. Statistical tests, detecting ...
This paper presents a model for the joint distribution of a portfolio by inferring extreme movements...
Assessing the extreme events is crucial in financial risk management. All risk managers and financia...
Assessing the extreme events is crucial in financial risk management. All risk managers and and fina...
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuri...
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...
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...
The goal of the dissertation is the investigation of financial risk analysis methodologies, using th...
AbstractIn this paper, we investigate extreme events in high frequency, multivariate FX returns with...
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...
Properties of risk measures for extreme risks have become an important topic of research. In the pre...
Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for ...
This thesis studies dependence of extreme events in financial markets. Statistical tests, detecting ...
This paper presents a model for the joint distribution of a portfolio by inferring extreme movements...
Assessing the extreme events is crucial in financial risk management. All risk managers and financia...
Assessing the extreme events is crucial in financial risk management. All risk managers and and fina...
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuri...
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...
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...
The goal of the dissertation is the investigation of financial risk analysis methodologies, using th...
AbstractIn this paper, we investigate extreme events in high frequency, multivariate FX returns with...
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...
Properties of risk measures for extreme risks have become an important topic of research. In the pre...
Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for ...
This thesis studies dependence of extreme events in financial markets. Statistical tests, detecting ...