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dc.contributor.authorHsing, Tailenen
dc.contributor.authorKlüppelberg, Claudiaen
dc.contributor.authorKuhn, Gabrielen
dc.date.accessioned2005-03-15-
dc.date.accessioned2010-05-14T10:10:36Z-
dc.date.available2010-05-14T10:10:36Z-
dc.date.issued2004-
dc.identifier.pidoi:10.5282/ubm/epub.1746en
dc.identifier.piurn:nbn:de:bvb:19-epub-1746-8en
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
dc.language.isoengen
dc.publisher|aLudwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen |cMünchenen
dc.relation.ispartofseries|aDiscussion Paper |x375en
dc.subject.jelC15en
dc.subject.jelC52en
dc.subject.ddc519en
dc.subject.keywordRisk managementen
dc.subject.keywordextreme risk assessmenten
dc.subject.keywordmultivariate modelsen
dc.subject.keyworddependence functionen
dc.titleModelling, estimation and visualization of multivariate dependence for risk management-
dc.type|aWorking Paperen
dc.identifier.ppn481702997en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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