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Tail Risk of Multivariate Regular Variation · Study

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ArticleTail Risk of Multivariate Regular Variation

Harry Joe2010

Article2010

Tail Risk of Multivariate Regular Variation

Harry Joe · Haijun Li

58 citations·0/0 files stored·Methodology And Computing In Applied Probability

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Probability and Risk Models Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 1999An Introduction to Copulas 1987Extreme Values, Regular Variation and Point Processes 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2002Convex measures of risk and trading constraints 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling 2002Coherent Risk Measures on General Probability Spaces

Cited by

2012Asymptotic Analysis of Multivariate Tail Conditional Expectations 2013Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation 2017Risk contagion under regular variation and asymptotic tail independence 2010A New Characterization of Bivariate Copulas 2010Tail Behaviour of Copulas

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Year2010

Typearticle

Published2010-06-09

VenueMethodology And Computing In Applied Probability

ISSN-L1387-5841

Languageen

Citations58

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s11009-010-9183-x

openalex_workW1997182029

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