Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk analysis.When it comes to quantifying the extent of tail...

We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with the new paradigm of prudent risk management. This...

Under minimal assumptions, we prove that an empirical estimator of the tail conditional allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are provided to confirm the minimality of the assumptions. A simulation study illustrates the performance of the...

The tail conditional allocation plays an important role in a number of areas, including economics, finance, insurance, and management. Fixed-margin confidence intervals are of particular interest, and the assessment of their coverage probabilities is of much interest in practice. In this paper...

The prominence of the Euler allocation rule (EAR) is rooted in the fact that it is the only return on risk-adjusted capital (RORAC) compatible capital allocation rule. When the total regulatory capital is set using the value-at-risk (VaR), the EAR becomes -- using a statistical term -- the...

We derive consistency, asymptotic normality, and standard error estimation for the tail conditional allocation, also known as the marginal expected shortfall, under minimal conditions and thus geared toward widest applicability. These advances have become possible due to a newly developed...