In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...

This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used stress test scenario corresponds to the counterparty stress scenario applied in the BCBS standard "Monitoring tools for intraday liquidity management" (BIS, 2013). This stress...