|
EconStor >
Ludwig-Maximilians-Universität München (LMU) >
Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Universität München (LMU) >
Discussion papers, SFB 386, LMU München >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/31112
|
| | |
| Title: | | Modelling, estimation and visualization of multivariate dependence for risk management  |
| Authors: | | Hsing, Tailen Klüppelberg, Claudia Kuhn, Gabriel |
| Issue Date: | | 2004 |
| Series/Report no.: | | Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 375 |
| 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. |
| Subjects: | | Risk management extreme risk assessment multivariate models dependence function |
| JEL: | | C15, C52 |
| Persistent Identifier of the first edition: | | urn:nbn:de:bvb:19-epub-1746-8 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion papers, SFB 386, LMU München
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/31112
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|