Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …

Risk transmission among financial markets and their participants is time- evolving, especially for the extreme risk … scenarios. Possibly sudden time variation of such risk structures ask for quantitative technology that is able to cope with such … situations. Here we present a novel localized multivariate CAViaR-type model to respond to the challenge of time-varying risk …