Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31112
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dc.contributor.authorHsing, Tailenen_US
dc.contributor.authorKlüppelberg, Claudiaen_US
dc.contributor.authorKuhn, Gabrielen_US
dc.date.accessioned2005-03-15en_US
dc.date.accessioned2010-05-14T10:10:36Z-
dc.date.available2010-05-14T10:10:36Z-
dc.date.issued2004en_US
dc.identifier.piurn:nbn:de:bvb:19-epub-1746-8-
dc.identifier.urihttp://hdl.handle.net/10419/31112-
dc.description.abstractDependence 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.en_US
dc.language.isoengen_US
dc.publisher|aTechn. Univ.; Sonderforschungsbereich 386, Statistische Analyse Diskreter Strukturen|cMünchenen_US
dc.relation.ispartofseries|aDiscussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München|x375en_US
dc.subject.jelC15en_US
dc.subject.jelC52-
dc.subject.ddc310en_US
dc.subject.keywordRisk managementen_US
dc.subject.keywordextreme risk assessmenten_US
dc.subject.keywordmultivariate modelsen_US
dc.subject.keyworddependence functionen_US
dc.titleModelling, estimation and visualization of multivariate dependence for risk managementen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn481702997en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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