Modelling oil and gas supply disruption risks using extreme-value theory and copula

DOI10.1080/02664763.2013.827160OpenAlexW1998454144MaRDI QIDQ5128553

Kabir Katata, Nalân Gülpinar

Publication date: 28 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2013.827160

zbMATH Keywords

copulaextreme-value theoryrisk managementsupply disruptions

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Estimating the parameters of a dependent model and applying it to environmental data set ⋮ A Compendium of Copulas

Uses Software

• QRM

Cites Work

• Unnamed Item
• An introduction to copulas.
• Rank-based inference for bivariate extreme-value copulas
• An application of extreme value theory for measuring financial risk
• Practical extreme value modelling of hydrological floods and droughts: a case study
• Coherent Measures of Risk

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