Showing 1 - 10 of 75
One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...
Persistent link: https://www.econbiz.de/10011996637
One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...
Persistent link: https://www.econbiz.de/10011890776
Persistent link: https://www.econbiz.de/10011397592
Persistent link: https://www.econbiz.de/10011530927
Persistent link: https://www.econbiz.de/10013167030
Persistent link: https://www.econbiz.de/10013167031
We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRisk approach, and as such they formally describe default risk portfolios exposed to an arbitrary number of fatal risk...
Persistent link: https://www.econbiz.de/10013002917
A new multivariate distribution possessing arbitrarily parametrized univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010). “On a multivariate Pareto distribution,” Insurance: Mathematics and Economics 46(2),...
Persistent link: https://www.econbiz.de/10013005300
Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk analysis.When it comes to quantifying the extent of tail...
Persistent link: https://www.econbiz.de/10013005343
We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with the new paradigm of prudent risk management. This...
Persistent link: https://www.econbiz.de/10013006476