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 …

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an … application to financial data. -- Distribution functions ; dimension reduction ; risk management ; statistical models …