@techreport{Hsing2004Modelling,
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.},
address = {M\"{u}nchen},
author = {Tailen Hsing and Claudia Kl\"{u}ppelberg and Gabriel Kuhn},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C15, C52; 310; Risk management; extreme risk assessment; multivariate models; dependence function},
language = {eng},
note = {urn:nbn:de:bvb:19-epub-1746-8},
number = {375},
publisher = {Techn. Univ.; Sonderforschungsbereich 386, Statistische Analyse Diskreter Strukturen},
title = {Modelling, estimation and visualization of multivariate dependence for risk management},
type = {Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universit\"{a}t M\"{u}nchen},
url = {http://hdl.handle.net/10419/31112},
year = {2004}
}
