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

We propose a simple but practical methodology for the quantification of correlation risk in the context of credit … derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or …