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https://hdl.handle.net/10419/31112
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hsing, Tailen | en |
dc.contributor.author | Klüppelberg, Claudia | en |
dc.contributor.author | Kuhn, Gabriel | en |
dc.date.accessioned | 2005-03-15 | - |
dc.date.accessioned | 2010-05-14T10:10:36Z | - |
dc.date.available | 2010-05-14T10:10:36Z | - |
dc.date.issued | 2004 | - |
dc.identifier.pi | doi:10.5282/ubm/epub.1746 | en |
dc.identifier.pi | urn:nbn:de:bvb:19-epub-1746-8 | en |
dc.identifier.uri | http://hdl.handle.net/10419/31112 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aLudwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen |cMünchen | en |
dc.relation.ispartofseries | |aDiscussion Paper |x375 | en |
dc.subject.jel | C15 | en |
dc.subject.jel | C52 | en |
dc.subject.ddc | 519 | en |
dc.subject.keyword | Risk management | en |
dc.subject.keyword | extreme risk assessment | en |
dc.subject.keyword | multivariate models | en |
dc.subject.keyword | dependence function | en |
dc.title | Modelling, estimation and visualization of multivariate dependence for risk management | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 481702997 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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