Modelling, estimation and visualization of multivariate dependence for risk management

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper ; No. 375

Classification and Topics

• Classification: Statistical Simulation Methods: General ; Model Evaluation, Validation, and Selection
• Subject: Risk management ; extreme risk assessment ; multivariate models ; dependence function

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hsing, Tailen ; Klüppelberg, Claudia ; Kuhn, Gabriel
• Event: Veröffentlichung
• (who): Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
• (where): München
• (when): 2004

Further information

• DOI: doi:10.5282/ubm/epub.1746
• Handle: http://hdl.handle.net/10419/31112
• URN: urn:nbn:de:bvb:19-epub-1746-8
• Last update: 10.03.2025, 11:41 AM CET