An asymptotic characterization of hidden tail credit risk with actuarial applications
From MaRDI portal
Publication:1707554
DOI10.1007/s13385-017-0150-6zbMath1394.91241OpenAlexW2609155764MaRDI QIDQ1707554
Publication date: 3 April 2018
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-017-0150-6
copulaasymptoticscapital allocationhidden regular variationconditional tail expectationcredit portfolio loss
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Credit risk (91G40)
Related Items
LLN-type approximations for large portfolio losses ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
- A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
- Tail order and intermediate tail dependence of multivariate copulas
- Asymptotics for risk capital allocations based on conditional tail expectation
- Risk capital decomposition for a multivariate dependent gamma portfolio
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
- The loss given default of a low-default portfolio with weak contagion
- Weighted risk capital allocations
- Tails of multivariate Archimedean copulas
- A capital allocation based on a solvency exchange option
- A probabilistic interpretation of complete monotonicity
- Hidden regular variation, second order regular variation and asymptotic independence
- A limit distribution of credit portfolio losses with low default probabilities
- Asymptotics and bounds for multivariate Gaussian tails
- On multivariate Gaussian tails
- Shot-noise driven multivariate default models
- Tails of correlation mixtures of elliptical copulas
- Max-factor individual risk models with application to credit portfolios
- Four theorems and a financial crisis
- Risk Measures and Multivariate Extensions of Breiman's Theorem
- Hidden Regular Variation and Detection of Hidden Risks
- Importance Sampling for Portfolio Credit Risk
- Dependence Modeling with Copulas
- Mill's ratio for multivariate normal distributions
- The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
- Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
- Statistics for near independence in multivariate extreme values
- On asymptotics of multivariate integrals with applications to records
- Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation
- CreditRisk+Model with Dependent Risk Factors
- Relations Between Hidden Regular Variation and the Tail Order of Copulas
- Heavy-Tail Phenomena
- A Primer on Copulas for Count Data
- Understanding Relationships Using Copulas
- Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
- Dependence measures for extreme value analyses
- A directory of coefficients of tail dependence
- Tails of weakly dependent random vectors
