On the limit of conditional Spearman's rho under the common factor model

DOI10.1007/s10687-015-0231-3zbMath1351.62181OpenAlexW2265105560MaRDI QIDQ262536

Ian Iscoe, Taehan Bae

Publication date: 30 March 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-015-0231-3

zbMATH Keywords

tail dependencecommon factor modelportfolio credit risk managementSpearman's rho

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Uses Software

• QRM

Cites Work

• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• A note on generalized inverses
• Some asymptotic relations for the generalized inverse
• CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
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