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Tail Risk of Multivariate Regular Variation
16 references·5 citing·32 second hop
Tail Risk of Multivariate Regular Variation (2010)Tail Risk of Multivariate Regular Variati…Tail dependence functions and vine copulas (2009)Tail dependence functions and…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Vector-valued coherent risk measures (2004)Vector-valued coherent risk m…Tail Conditional Expectations for Elliptical Distributions (2003)Tail Conditional Expectations…Handbook of heavy tailed distributions in finance (2003)Handbook of heavy tailed dist…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…A characterization of multivariate regular variation (2002)A characterization of multiva…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Introduction to Copulas (1999)An Introduction to CopulasBivariate Threshold Methods for Extremes (1992)Bivariate Threshold Methods f…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Risk contagion under regular variation and asymptotic tail independence (2017)Risk contagion under regular …Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation (2013)Living on the Multidimensiona…Asymptotic Analysis of Multivariate Tail Conditional Expectations (2012)Asymptotic Analysis of Multiv…Tail Behaviour of Copulas (2010)Tail Behaviour of CopulasA New Characterization of Bivariate Copulas (2010)A New Characterization of Biv…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Cores of convex games (1971)Modelling Extremal Events (1997)On law invariant coherent risk measures (2001)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)Capital Allocation for Insurance Companies (2001)Correlation and Dependence (2001)Hierarchical Insurance Claims Modeling (2008)Optimal Capital Allocation Principles (2011)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Models for Exceedances Over High Thresholds (1990)Modelling Dependence within Joint Tail Regions (1997)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Copulas for Finance - A Reading Guide and Some Applications (2007)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Modelling of extremal events in insurance and finance (1994)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Regularly varying multivariate time series (2008)Extreme events: dynamics, statistics and prediction (2011)Statistical Modeling of Spatial Extremes (2012)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 1991Modelling Extreme Multivariate Events529 cited
  • 2003Tail Conditional Expectations for Elliptical Distributions386 cited
  • 2002Regular variation of GARCH processes359 cited
  • 2003Handbook of heavy tailed distributions in finance351 cited
  • 2009Tail dependence functions and vine copulas284 cited
  • 1992Bivariate Threshold Methods for Extremes195 cited
  • 2004Vector-valued coherent risk measures181 cited
  • 2002A characterization of multivariate regular variation177 cited

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Cited by

  • 2012Asymptotic Analysis of Multivariate Tail Conditional Expectations50 cited
  • 2013Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation44 cited
  • 2017Risk contagion under regular variation and asymptotic tail independence42 cited
  • 2010A New Characterization of Bivariate Copulas34 cited
  • 2010Tail Behaviour of Copulas28 cited