Portfolio risk assessment using multivariate extreme value methods

DOI10.1007/s10687-014-0194-9zbMath1303.91158OpenAlexW1997428081MaRDI QIDQ482071

Sawsan Hilal, Ser-Huang Poon, Jonathan A. Tawn

Publication date: 19 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0194-9

zbMATH Keywords

copulaasymptotic independenceARMA-GARCH filteringasymptotic dependencemultivariate extreme values

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)

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Uses Software

• QRM

Cites Work

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