We analyze the interdependency between different financial markets by using multivariate extreme value theory. This permits one to focus on the occurrence of simultaneous financial market crises, whereas standard co-variance analysis is less suitable for studying extreme interdependencies. The...

Researchers gathered abundant evidence on foreign exchange market inefficiency by regressing excess returns on lagged forward premia but they rarely investigated coefficient instability and its consequences for market efficiency testing. We allow for endogenous changes in the parameters when...

We derive the exact loss distribution for portfolios of bonds or cor-porate loans when the number of risks grows indefinitely. We show that in many cases this distribution lies in the maximal domain of attraction of the Weibull (Type III) limit law. Knowledge of the dis-tribution and its tail...

Researchers gathered abundant evidence on foreign exchange market inefficiency by regressing excess returns on lagged forward premia but they rarely investigated coefficient instability and its consequences for market efficiency testing. We allow for endogenous changes in the parameters when...

We analyze the interdependency between different financial markets by using multivariate extreme value theory. This permits one to focus on the occurrence of simultaneous financial market crises, whereas standard co-variance analysis is less suitable for studying extreme interdependencies. The...

We derive the exact loss distribution for portfolios of bonds or cor-porate loans when the number of risks grows indefinitely. We show that in many cases this distribution lies in the maximal domain of attraction of the Weibull (Type III) limit law. Knowledge of the dis-tribution and its tail...