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Title:Modelling, estimation and visualization of multivariate dependence for risk management PDF Logo
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

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