Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31112
Year of Publication: 
2004
Series/Report no.: 
Discussion Paper No. 375
Publisher: 
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen, München
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: 
Document Type: 
Working Paper

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