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Risk management with extreme value theory

Klüppelberg, Claudia - 2002

Persistent link: https://www.econbiz.de/10001745767

Modelling, estimation and visualization of multivariate dependence for risk management

Hsing, Tailen; Klüppelberg, Claudia; Kuhn, Gabriel - 2004

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 means an ideal model. We suggest a large class of...

Persistent link: https://www.econbiz.de/10010332976

Modelling, estimation and visualization of multivariate dependence for risk management

Hsing, Tailen (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002638723

Modelling extremal dependence for operational risk by a bipartite graph

Kley, Oliver; Klüppelberg, Claudia; Paterlini, Sandra - In: Journal of banking & finance 117 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012495775

Risk in large claims insurance market with bipartite graph structure

Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Operations research 64 (2016) 5, pp. 1159-1176

Persistent link: https://www.econbiz.de/10011594678

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Klüppelberg, Claudia; Seifert, Miriam - In: Finance and stochastics 23 (2019) 4, pp. 795-826

Persistent link: https://www.econbiz.de/10012114659

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Klüppelberg, Claudia; Seifert, Miriam - Sonderforschungsbereich Statistical Modelling of … - 2019

Persistent link: https://www.econbiz.de/10012035248